var_cvar: Value at Risk and Conditional Value at risk.
In veldanie/SuraInvestmentAnalytics: Investment Analytics
var_cvar R Documentation
Value at Risk and Conditional Value at risk.
Description
Estimates losses distribution, VaR amd CVaR.
Usage
var_cvar(series, w, quant, normal = FALSE, port_name = "Portolio")
Arguments
series
data frame with return series.
w
Portfolio weights.
quant
Quantile.
normal
Indicator if returns are normaly distributed.
Value
Losses distribution, covar matrix, volatility, VaR and CVaR.
veldanie/SuraInvestmentAnalytics documentation built on Sept. 17, 2024, 6:49 p.m.
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| var_cvar | R Documentation |
Value at Risk and Conditional Value at risk.
Description
Estimates losses distribution, VaR amd CVaR.
Usage
var_cvar(series, w, quant, normal = FALSE, port_name = "Portolio")
Arguments
series |
data frame with return series. |
w |
Portfolio weights. |
quant |
Quantile. |
normal |
Indicator if returns are normaly distributed. |
Value
Losses distribution, covar matrix, volatility, VaR and CVaR.
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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