portfolio-pfolioRisk: portfolioRisk
In fPortfolio: Rmetrics - Portfolio Selection and Optimization
portfolio-pfolioRisk R Documentation
portfolioRisk
Description
Computes covariance and CVaR portfolio risk.
Usage
covRisk(data, weights)
varRisk(data, weights, alpha = 0.05)
cvarRisk(data, weights, alpha = 0.05)
Arguments
data
a multivariate time series described by an S4 object of class
timeSeries.
weights
a numeric vector of weights.
alpha
a numeric value, the confidence level, by default alpha=0.05,
i.e. 5%.
References
Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009);
Portfolio Optimization with R/Rmetrics,
Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.
fPortfolio documentation built on Jan. 14, 2024, 8:21 p.m.
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.
| portfolio-pfolioRisk | R Documentation |
portfolioRisk
Description
Computes covariance and CVaR portfolio risk.
Usage
covRisk(data, weights)
varRisk(data, weights, alpha = 0.05)
cvarRisk(data, weights, alpha = 0.05)
Arguments
data |
a multivariate time series described by an S4 object of class
|
weights |
a numeric vector of weights. |
alpha |
a numeric value, the confidence level, by default |
References
Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.