LogNormalESPlot2DCL {Dowd}

Plots log normal ES against confidence level

Description

Plots the ES of a portfolio against confidence level assuming that geometric returns are normally distributed, for specified confidence level and holding period.

Usage

LogNormalESPlot2DCL(...)

Arguments

...

The input arguments contain either return data or else mean and standard deviation data. Accordingly, number of input arguments is either 4 or 5. In case there 4 input arguments, the mean and standard deviation of data is computed from return data. See examples for details.

returns Vector of daily geometric return data

mu Mean of daily geometric return data

sigma Standard deviation of daily geometric return data

investment Size of investment

cl ES confidence level and must be a vector

hp ES holding period and must be a scalar

Author(s)

Dinesh Acharya

References

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

Examples

# Plots ES against confidence level
   data <- runif(5, min = 0, max = .2)
   LogNormalESPlot2DCL(returns = data, investment = 5,
                       cl = seq(.9,.99,.01), hp = 60)

   # Plots ES against confidence level
   LogNormalESPlot2DCL(mu = .012, sigma = .03, investment = 5,
                       cl = seq(.9,.99,.01), hp = 40)