Description Usage Arguments Author(s) References Examples
Estimates VaR plot using principal components analysis
1 | PCAVaRPlot(Ra, position.data)
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Ra |
Matrix return data set where each row is interpreted as a set of daily observations, and each column as the returns to each position in a portfolio |
position.data |
Position-size vector, giving amount invested in each position |
Dinesh Acharya
Dowd, K. Measuring Market Risk, Wiley, 2007.
1 2 3 4 | # Computes PCA VaR
Ra <- matrix(rnorm(15*20),15,20)
position.data <- rnorm(20)
PCAVaRPlot(Ra, position.data)
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