Optimal Capital Allocations
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Documentation for package ‘OCA’ version 0.5
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| cap | Covariance Allocation Principle |
| dat1 | Public data risk no. 1 |
| dat2 | Public data risk no. 2 |
| ES | Expected Shortfall |
| hap | Haircut Allocation Principle |
| Overbeck2 | Overbeck type II Allocation Principle |
| Risk | Risk |
| VaR | Value at Risk |