portfolioCVaRmnts: portfolioCVaRmnts

In aaron9011/temStaR-v0.814: Tempered Stable Distribution

Description

Calculate portfolio conditional value at risk (expected shortfall) on the NTS market model

Usage

portfolioCVaRmnts(strPMNTS, w, eta)

Arguments

strPMNTS	Structure of parameters for the n-dimensional NTS distribution. strPMNTS$ndim : dimension strPMNTS$mu : μ mean vector (column vector) of the input data. strPMNTS$sigma : σ standard deviation vector (column vector) of the input data. strPMNTS$alpha : α of the std NTS distribution (X). strPMNTS$theta : θ of the std NTS distribution (X). strPMNTS$beta : β vector (column vector) of the std NTS distribution (X). res$Rho : ρ matrix (Correlation) of the std NTS distribution (X). res$Sigma : Covariance Σ matrix of return data r.
w	Capital allocation weight vector.
eta	significanlt level

Value

portfolio value at risk on the NTS market model

aaron9011/temStaR-v0.814 documentation built on Dec. 24, 2021, 6:16 p.m.