discreteTimeRiskProfile: Risk profile under four discrete time models
In shill1729/trader: Mathematical finance analysis package
discreteTimeRiskProfile R Documentation
Risk profile under four discrete time models
Description
Estimates the parameters for four distributions for discrete time
financial returns models, provides the Kelly fractions under such distributions,
together with a comparison of densities and value at risk under the stable distribution.
Usage
discreteTimeRiskProfile(symbol, singleAriRet, rate = 0, rollingWindow = NULL)
Arguments
symbol
stock ticker
singleAriRet
single-asset daily arithmetic returns
rate
risk-free date earned on cash
rollingWindow
rolling window size to use, or NULL for full sample size
Value
list
shill1729/trader documentation built on Dec. 27, 2022, 10:55 p.m.
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| discreteTimeRiskProfile | R Documentation |
Risk profile under four discrete time models
Description
Estimates the parameters for four distributions for discrete time financial returns models, provides the Kelly fractions under such distributions, together with a comparison of densities and value at risk under the stable distribution.
Usage
discreteTimeRiskProfile(symbol, singleAriRet, rate = 0, rollingWindow = NULL)
Arguments
symbol |
stock ticker |
singleAriRet |
single-asset daily arithmetic returns |
rate |
risk-free date earned on cash |
rollingWindow |
rolling window size to use, or NULL for full sample size |
Value
list
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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