mrc: Marginal Contribution to Risk
In FRAPO: Financial Risk Modelling and Portfolio Optimisation with R
Description
Usage
Arguments
Details
Value
Author(s)
Description
This function returns the marginal contributions to portfolio risk,
whereby the latter is defined in terms of the portfolio standard
deviation.
Usage
1
Arguments
weights
Vector: portfolio weights.
Sigma
Matrix: Variance-covariance matrix of portfolio assets.
percentage
Logical, whether the marginal risk
contributions shall be returned as percentages that sum to 100
(default) or as decimal numbers.
Details
The marginal contributions to risk are computed for a given dispersion
matrix and weight vector.
Value
numeric, the marginal risk contributions of the portfolio's
asset.
Author(s)
Bernhard Pfaff
FRAPO documentation built on May 2, 2019, 5:24 p.m.
R Package Documentation
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Description Usage Arguments Details Value Author(s)
Description
This function returns the marginal contributions to portfolio risk, whereby the latter is defined in terms of the portfolio standard deviation.
Usage
1 |
Arguments
weights |
Vector: portfolio weights. |
Sigma |
Matrix: Variance-covariance matrix of portfolio assets. |
percentage |
|
Details
The marginal contributions to risk are computed for a given dispersion matrix and weight vector.
Value
numeric, the marginal risk contributions of the portfolio's
asset.
Author(s)
Bernhard Pfaff
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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