Description Usage Arguments Value Examples

View source: R/risk.decision.R

Decides the best alternative based on risk measures (StD, VaR, EL, ELD, ES, SDR, EVaR, DEVaR, ENT, DENT, ML) by choosing that with maximum ratio between mean and risk.

1 | ```
risk.decision(x, alpha = c(0.05), beta = 1, p = 2)
``` |

`x` |
a matrix of observations with each column representing an investment alternative. |

`alpha` |
a vector of probabilities for significance level. |

`beta` |
a positive risk aversion parameter. |

`p` |
a positive value for the power of deviation terms. |

A matrix with a numeric indicating which is column that represents the best investment alternative for each risk measure at all probabilities of interest.

1 2 3 4 5 | ```
## Decides which is the best investment alternative among AAPL, BAC, DOW and SUNE.
data(returns)
s <- returns[, 3:6]
risk.decision(s, c(0.01, 0.05))
``` |

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