Decides the best alternative based on risk measures

Share:

Description

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.

Usage

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

Arguments

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.

Value

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

Examples

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))