Calculate the marginal contribution to CVaR for the multivariate NTS market model. Developer's version.
1 2 3 4 5 6 7 8 9 10 11 12 | mctCVaRnts(
eta,
n,
w,
covMtx,
alpha,
theta,
betaArray,
muArray,
CVaR = NULL,
dCVaR = NULL
)
|
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