histCVaRcalc: histCVaRcalc
In theteetrinker/CQFFA: CQF Final Project (Portfolio Optimization)
Description
Usage
Arguments
Value
View source: R/CQF_FA_Functions.R
Description
calculates the historical Conditional VaR / Expected Shortfall of a portfolio or an asset
Usage
1
histCVaRcalc(asset.weights = 1, daily.returns.data.wide, alpha.cvar)
Arguments
alpha.cvar
Alpha of the CVaR, this is the confidence level from which on the average of the tail risk is being calculated
daily.returns
Daily historical returns of a portfolio or single asset
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.
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Description Usage Arguments Value
View source: R/CQF_FA_Functions.R
Description
calculates the historical Conditional VaR / Expected Shortfall of a portfolio or an asset
Usage
1 | histCVaRcalc(asset.weights = 1, daily.returns.data.wide, alpha.cvar)
|
Arguments
alpha.cvar |
Alpha of the CVaR, this is the confidence level from which on the average of the tail risk is being calculated |
daily.returns |
Daily historical returns of a portfolio or single asset |
Value
cvar CVaR of the specific portfolio or asset with the set alpha
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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