FRAPO (version 0.4-1)

mrc: Marginal Contribution to Risk

Description

This function returns the marginal contributions to portfolio risk, whereby the latter is defined in terms of the portfolio standard deviation.

Usage

mrc(weights, Sigma, percentage = TRUE)

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.

Value

numeric, the marginal risk contributions of the portfolio's asset.

Details

The marginal contributions to risk are computed for a given dispersion matrix and weight vector.