Description Usage Arguments Value Author(s) References Examples
Generates Monte Carlo lognormal VaR with filter portfolio strategy
1 | FilterStrategyLogNormalVaR(mu, sigma, number.trials, alpha, cl, hp)
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mu |
Mean arithmetic return |
sigma |
Standard deviation of arithmetic return |
number.trials |
Number of trials used in the simulations |
alpha |
Participation parameter |
cl |
Confidence Level |
hp |
Holding Period |
Lognormal VaR
Dinesh Acharya
Dowd, K. Measuring Market Risk, Wiley, 2007.
1 2 | # Estimates standard error of normal quantile estimate
FilterStrategyLogNormalVaR(0, .2, 100, 1.2, .95, 10)
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