kappag {Risk}

Kappa Risk Measure Due To Kaplan And Knowles (2004)

Description

Computes the Kappa risk measure for a given ditribution

Usage

kappag(spec, alpha, n, a, b, ...)

Arguments

spec

a character string specifying the distribution (for example, "norm" corresponds to the standard normal)

alpha

a real valued parameter, see Chan and Nadarajah for details

n

a positive integer valued parameter, see Chan and Nadarajah for details

a

the lower end point of the distribution specified by spec

b

the upper end point of the distribution specified by spec

...

other parameters

Value

An object of the same length as alpha, giving the Kappa risk measure of the distribution specified by spec

Author(s)

Stephen Chan, Saralees Nadarajah

References

S. Chan and S. Nadarajah, Risk: An R package for risk measures, submitted

P. D. Kaplan and J. A. Knowles, Kappa: A generalized downside risk-adjusted performance measure, Miscellaneous Publication, Morningstar Associates and York Hedge Fund Strategies, 2004

Examples

kappag("norm", 2, 5, -Inf, Inf)