Description Usage Arguments Value References Examples
Portfolio return with capital allocation weight is R_p=<w,r>,
which is a weighted sum of of elements in the N-dimensional NTS random vector.
R_p becomes an 1-dimensional NTS random variable.
getPortNTSParam
find the parameters of R_p.
1 2 | res <- setPortfolioParam(strPMNTS,w)
res <- setPortfolioParam(strPMNTS,w, FALSE)
|
strPMNTS |
Structure of parameters for the n-dimensional NTS distribution.
|
w |
Capital allocation weight vector. |
stdform |
If R_p = <w, r> = μ + diag(σ) X, where X follows stdNTS_1(α, θ, β, 1). If R_p = <w, r> follows NTS_1(α, θ, β, γ, μ, 1) |
The weighted sum follows 1-dimensional NTS.
R_p = <w, r> = μ + diag(σ) X,
where
X follows stdNTS_1(α, θ, β, 1).
Hence we obtain
res$mu
: μ mean of R_p.
res$sigma
: σ standard deviation of R_p.
res$alpha
: α of X.
res$theta
: θ of X.
res$beta
: β of X.
Proposition 2.1 of Kim, Y. S. (2020) Portfolio Optimization on the Dispersion Risk and the Asymmetric Tail Risk https://arxiv.org/pdf/2007.13972.pdf
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 | library("temStaR")
strPMNTS <- list(ndim = 2,
mu = c( 9.876552e-05, 4.747343e-04 ),
sigma = c( 0.01620588, 0.02309643 ),
alpha = 0.1888129 ,
theta = 0.523042,
beta = c( -0.04632938, 0.04063555 ),
Rho = matrix( data = c(1.0, 0.469883,
0.469883, 1.0),
nrow = 2, ncol = 2)
CovMtx = matrix( data = c(0.0002626304, 0.0001740779,
0.0001740779, 0.0005334452),
nrow = 2, ncol = 2)
)
w <- c(0.3, 0.7)
res <- getPortNTSParam(strPMNTS,w)
|
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.