Minimum Tail Dependent Portfolio

Description

This function computes the solution of a minimum tail dependent portfolio (long-only).

Usage

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PMTD(Returns, method = c("EmpTC", "EVT"), k = NULL, percentage = TRUE,
     optctrl = ctrl(),...)

Arguments

Returns

A rectangular array of return data.

method

Character, the type of non-parametric estimation.

k

Integer, the threshold value for the order statistic. If left NULL, then k = sqrt(nrow(x)) is used.

percentage

Logical, whether the weights shall be returned as decimals or percentages (default).

optctrl

Object of class Rcpp_CTRL.

...

Arguments are passed down to rank.

Details

Akin to the optimisation of a global minimum-variance portfolio, the minimum tail dependennt portfolio is determined by replacing the variance-covariance matrix with the matrix of the lower tail dependence coefficients as returned by tdc.

Value

An object of formal class "PortSol".

Note

The optimisation is conducted by calling cccp().

Author(s)

Bernhard Pfaff

See Also

tdc, "PortSol"

Examples

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data(StockIndex)
Rets <- returnseries(StockIndex, method = "discrete", trim = TRUE,
                     percentage = TRUE)
PMTD(Rets)

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