FilterStrategyLogNormalVaR {Dowd}

Log Normal VaR with filter strategy

Description

Generates Monte Carlo lognormal VaR with filter portfolio strategy

Usage

FilterStrategyLogNormalVaR(mu, sigma, number.trials, alpha, cl, hp)

Arguments

mu

Mean arithmetic return

sigma

Standard deviation of arithmetic return

number.trials

Number of trials used in the simulations

alpha

Participation parameter

cl

Confidence Level

hp

Holding Period

Value

Lognormal VaR

Author(s)

Dinesh Acharya

References

Dowd, K. Measuring Market Risk, Wiley, 2007.

Examples

# Estimates standard error of normal quantile estimate
   FilterStrategyLogNormalVaR(0, .2, 100, 1.2, .95, 10)