pfolioRisk

covRisk

varRisk

cvarRisk

Computes covariance and CVaR portfolio risk.

models

portfolio-pfolioRisk

A collection of functions to optimize portfolios and to analyze them from different points of view.

Stefan Theussl

fPortfolio

Rmetrics - Portfolio Selection and Optimization

Diethelm Wuertz

Tobias Setz

Yohan Chalabi

William Chen

portfolio-pfolioRisk function

<dl>
 <dt>data</dt>
<dd>a multivariate time series described by an S4 object of class
 <code>timeSeries</code>.</dd> <dt>weights</dt>
<dd>a numeric vector of weights.</dd> <dt>alpha</dt>
<dd>a numeric value, the confidence level, by default <code>alpha=0.05</code>,
 i.e. 5%.</dd></dl>

Arguments

Computes covariance and CVaR portfolio risk.

portfolioRisk — portfolio-pfolioRisk

<dl>


 <dt>data</dt>
<dd>a multivariate time series described by an S4 object of class
 <code>timeSeries</code>.</dd>

 <dt>weights</dt>
<dd>a numeric vector of weights.</dd>

 <dt>alpha</dt>
<dd>a numeric value, the confidence level, by default <code>alpha=0.05</code>,
 i.e. 5%.</dd>

</dl>

portfolio-pfolioRisk: portfolioRisk

Description

Usage

Arguments

References