R/risk_fun.R

In veldanie/SuraInvestmentAnalytics: Investment Analytics

#' Risk functional
#'
#' Risk function.
#' @param Sigma covariance matrix
#' @param type Type of risk measure. ('volatility','var', 'cvar')
#' @param quant Quantile.
#' @return Risk function
#' @export

risk_fun <- function(Sigma, type = 'volatility', quant = 0.9, w_bench = NULL) {
  if (!is.null(w_bench)){
    w_b <- -w_bench
  }else{
    w_b <- NULL
  }
  if(substr(type,1,3) == 'vol'){
    function(w) as.numeric(sqrt(t(c(w,w_b)) %*% Sigma %*% c(w,w_b)))
  }else if (substr(type,1,3) == 'var'){
    function(w) qnorm(quant) * as.numeric(sqrt(t(c(w,w_b)) %*% Sigma %*% c(w,w_b)))
  }else if(substr(type,1,3) == 'cva'){
    function(w) dnorm(qnorm(quant))/(1-quant) * as.numeric(sqrt(t(c(w,w_b)) %*% Sigma %*% c(w,w_b)))
  }
}