LongShortMeanCVaRFrontier: Computes the long-short conditional value at risk frontier as...
In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.
Description
Usage
Arguments
Value
Author(s)
References
Description
Computes the long-short conditional value at risk
frontier as it appears in A. Meucci, "Fully Flexible
Views: Theory and Practice", The Risk Magazine, October
2008, p 100-106
Usage
1
2
LongShortMeanCVaRFrontier(PnL, Probs, Butterflies,
Options)
Arguments
PnL
Profit and Loss scenarios
Probs
vector of probabilities
Butterflies
list of securities with some analytics
computed.
Options
list of options
Value
Exp vector of expected returns for each asset
SDev vector of security volatilities along the efficient
frontier
CVaR Conditional Value at Risk for each portfolio
Composition matrix of compositions (security weights) for
each portfolio along the efficient frontier
Author(s)
Ram Ahluwalia ram@wingedfootcapital.com, Xavier
Valls flamejat@gmail.com
References
A. Meucci, "Fully Flexible Views: Theory and Practice"
http://www.symmys.com/node/158 See Meucci script
for "ButterflyTrading/LongShortMeanCVaRFrontier.m"
R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.m.
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Description Usage Arguments Value Author(s) References
Description
Computes the long-short conditional value at risk frontier as it appears in A. Meucci, "Fully Flexible Views: Theory and Practice", The Risk Magazine, October 2008, p 100-106
Usage
1 2 | LongShortMeanCVaRFrontier(PnL, Probs, Butterflies,
Options)
|
Arguments
PnL |
Profit and Loss scenarios |
Probs |
vector of probabilities |
Butterflies |
list of securities with some analytics computed. |
Options |
list of options |
Value
Exp vector of expected returns for each asset
SDev vector of security volatilities along the efficient frontier
CVaR Conditional Value at Risk for each portfolio
Composition matrix of compositions (security weights) for each portfolio along the efficient frontier
Author(s)
Ram Ahluwalia ram@wingedfootcapital.com, Xavier Valls flamejat@gmail.com
References
A. Meucci, "Fully Flexible Views: Theory and Practice" http://www.symmys.com/node/158 See Meucci script for "ButterflyTrading/LongShortMeanCVaRFrontier.m"
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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