ProjectionStudentT: Perform the horizon projection of a Student t invariant
In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.
Description
Usage
Arguments
Value
Author(s)
References
Description
Perform the horizon projection of a Student t invariant,
as described in A. Meucci "Risk and Asset Allocation",
Springer, 2005
Usage
1
ProjectionStudentT(nu, m, s, T)
Arguments
nu
[scalar] degree of freedom
s
[scalar] scatter parameter
m
[scalar] location parameter
T
[scalar] multiple of the estimation period to
the invesment horizon
Value
x_Hor [scalar] probabilities at horizon
f_Hor [scalar] horizon discretized pdf (non-standarized)
F_Hor [scalar] horizon discretized cdf (non-standarized)
Author(s)
Xavier Valls flamejat@gmail.com
References
A. Meucci - "Exercises in Advanced Risk and Portfolio
Management" http://symmys.com/node/170, "E 141 -
Fixed-income market: projection of Student t invariants".
See Meucci's script for "ProjectionStudentT.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
Perform the horizon projection of a Student t invariant, as described in A. Meucci "Risk and Asset Allocation", Springer, 2005
Usage
1 | ProjectionStudentT(nu, m, s, T)
|
Arguments
nu |
[scalar] degree of freedom |
s |
[scalar] scatter parameter |
m |
[scalar] location parameter |
T |
[scalar] multiple of the estimation period to the invesment horizon |
Value
x_Hor [scalar] probabilities at horizon
f_Hor [scalar] horizon discretized pdf (non-standarized)
F_Hor [scalar] horizon discretized cdf (non-standarized)
Author(s)
Xavier Valls flamejat@gmail.com
References
A. Meucci - "Exercises in Advanced Risk and Portfolio Management" http://symmys.com/node/170, "E 141 - Fixed-income market: projection of Student t invariants".
See Meucci's script for "ProjectionStudentT.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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