ceRtainty

The ceRtainty package computes the certainty equivalent values from a profit dataset and its respective risk premiums.

Installation

Install the package from github as usual:

library(devtools)
install_github("ArielSotoCaro/ceRtainty")

Usage

library(ceRtainty)

Use the certainty() function to compute the certainty equivalent values and premium() to compute the risk premium values. For more details, please refer to the package vignette.

License

MIT © Ariel Soto-Caro

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Version

Install

install.packages('ceRtainty')

Monthly Downloads

178

Version

1.0.0

License

MIT + file LICENSE

Maintainer

Ariel Soto-Caro

Last Published

June 14th, 2019

Functions in ceRtainty (1.0.0)

profitSWG

Profit SWG

plot_risk_premium_p

Plot of the Risk Premium values using Exponential Negative Utility Function

premium

Risk Premium computation

rac_len

Define the length of the Risk Aversion Coefficient, RAC.

rac_seq

RAC Sequence generator

rac_generator

RAC Generator

ce_power

Certainty Equivalent Computation using Power Utility Function

ce_p

Certainty Equivalent Function with Power Utility Function

ce_epnegative

Certainty Equivalent Computation using Power Utility Function

ce_en

Certainty Equivalent Function for Negative Exponential Function

RACa

Adjusted Risk Aversion Coefficient (RACa)

add_legend

Customized Legend for CE and RP plots.

plot_ce_power

Plot for CE using Power Utility Function

plot_risk_premium_en

Plot of the Risk Premium values using Exponential Negative Utility Function

certainty

Certainty equivalent computation

plot_ce_en

Plot for CE using Exponential Negative Utility Function