portfolioVaRmnts: portfolioVaRmnts

In aaron9011/temStaR-v0.90: Tempered Stable Distribution

portfolioVaRmnts

Description

Calculate portfolio value at risk on the NTS market model

Usage

portfolioVaRmnts(strPMNTS, w, eta)

Arguments

strPMNTS	Structure of parameters for the n-dimensional NTS distribution. strPMNTS$ndim : dimension strPMNTS$mu : \mu mean vector (column vector) of the input data. strPMNTS$sigma : \sigma standard deviation vector (column vector) of the input data. strPMNTS$alpha : \alpha of the std NTS distribution (X). strPMNTS$theta : \theta of the std NTS distribution (X). strPMNTS$beta : \beta vector (column vector) of the std NTS distribution (X). res$Rho : \rho matrix (Correlation) of the std NTS distribution (X). res$Sigma : Covariance \Sigma 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-v0.90 documentation built on June 1, 2025, 4:15 p.m.