Description Usage Arguments Value References Examples
These functions relate to the computation of second centered moments (M2()
),
the portfolio variance risk (pm2()
and PortRisk()
),
the partial derivatives (dm2()
and PortRiskDeriv()
) and
the risk contributions of the assets (cm2()
and PortRiskContrib()
).
1 2 3 4 5 6 7 8 9 10 11 12 13 | M2(r)
pm2(r, w)
dm2(r, w)
cm2(r, w, percentage = TRUE)
PortRisk(r, w)
PortRiskDeriv(r, w)
PortRiskContrib(r, w, percentage = TRUE)
|
r |
|
w |
|
percentage |
|
numeric
Boudt, K. and Peterson, B. and Croux, C. (2008/09), Estimation and decomposition of downside risk for portfolios with non-normal returns, The Journal of Risk, 11(2), Winter 2008/09, 79–103.
Jondeau, E. and Rockinger, M. (2006), Optimal portfolio allocation under higher moments, European Financial Management, 12(1), 29–55.
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