CVaRPortfolioOptimizer: CVaRPortfolioOptimizer

In theteetrinker/CQFFA: CQF Final Project (Portfolio Optimization)

Description

CVaR Portfolio Optimizer based on Yollin (2009)

Usage

CVaRPortfolioOptimizer(daily.returns.data.wide, alpha.cvar = 0.05,
  rmin = 0, wmin = 0, wmax = 1, weight.sum = 1)

Arguments

daily.returns.data.wide	data.frame including the daily returns of the specific assets as well as a reference date
rmin	Required return, default is 0
wmin	Minimal weight of a single asset, default is 0
wmax	Maximal weight of a single asset, default is 1
weight.sum	Total weight of all assets, default is 1
alpha	Alpha of the CVaR, this is the confidence level from which on the average of the tail risk is being calculated

Value

cvar CVaR of the specific portfolio or asset with the set alpha

theteetrinker/CQFFA documentation built on July 17, 2019, 3:37 p.m.