extract_risk

extract the risk value when knowing the weights

Portfolio optimization and analysis routines and graphics.

Brian G Peterson

PortfolioAnalytics

Portfolio Analysis, Including Numerical Methods for Optimization
of Portfolios

Peter Carl

Ross Bennett

Kris Boudt

Xinran Zhao

R. Douglas Martin

Guy Yollin

Hezky Varon

Xiaokang Feng

Yifu Kang

extract_risk function

<dl><dt>R</dt>
<dd>an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns</dd>
<dt>w</dt>
<dd>the weight of the portfolio</dd>
<dt>ES_alpha</dt>
<dd>the default value is 0.05, but could be specified as any value between 0 and 1</dd>
<dt>CSM_alpha</dt>
<dd>the default value is 0.05, but could be specified as any value between 0 and 1</dd>
<dt>moment_setting</dt>
<dd>the default is NULL, should provide moment_setting=list(mu=, sigma=) if customize momentFUN</dd></dl>

Arguments

extract the risk value when knowing the weights — extract_risk

<dl>

<dt>R</dt>
<dd>an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns</dd>


<dt>w</dt>
<dd>the weight of the portfolio</dd>


<dt>ES_alpha</dt>
<dd>the default value is 0.05, but could be specified as any value between 0 and 1</dd>


<dt>CSM_alpha</dt>
<dd>the default value is 0.05, but could be specified as any value between 0 and 1</dd>


<dt>moment_setting</dt>
<dd>the default is NULL, should provide moment_setting=list(mu=, sigma=) if customize momentFUN</dd>

</dl>

extract the risk value when knowing the weights

extract_risk: extract the risk value when knowing the weights

Description

Usage

Arguments