extract_stats: Extract Portfolio Statistics from a Dynamic Simulation

In Reckziegel/DynamicStrategies: Convex vs Concave Portfolio Management

Description

Computes the mean, standard deviation, skewness, kurtosis, Value-at-Risk (VaR) and Conditional Value-at-Risk CVaR) of a strategy.

Usage

extract_stats(simulation, level = 0.01)

Arguments

simulation	An object of the DynamicStrategies class.
level	A number with the desired probability level. The default is level = 0.01.

Value

A tibble with 2 columns and 6 rows.

Examples

utility <- simulate_strategy(strategy = "max_utility")
cppi    <- simulate_strategy(strategy = "cppi")

extract_stats(utility)
extract_stats(cppi)

Reckziegel/DynamicStrategies documentation built on Dec. 18, 2021, 9:54 a.m.