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FRAPO (version 0.4-1)

PMTD: Minimum Tail Dependent Portfolio

Description

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

Usage

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.

Value

An object of formal class "PortSol".

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.

See Also

tdc, "PortSol"

Examples

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

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