es_lognormal: Expected Shortfall for normally distributed geometric returns
In dandermotj/mmr: Measuring Market Risk

Description Usage Arguments Value

This function estimates the ES of P/L data assuming geometric returns are normally distributed, for specified confidence level and holding period. It does so by taking an average of the VaRs in the tail of the distribution.

1	es_lognormal(mu, sigma, investment, conf = 0.95, holding = 1)

`mu`	mean daily P/L data
`sigma`	standard deviation of daily P/L data
`investment`	the size of investment
`conf`	the confidence level (double)
`holding`	the holding period in days (double)