pt.roy {YRmisc}

Roy's safety-first criterion

Description

Roy's safety-first criterion is a risk management technique that allows to choose a portfolio based on the criterion that the probability of the portfolio's return falling below a minimum desired threshold is minimized.

Usage

pt.roy(r,mar)

Arguments

r

:a vector of a risk asset return

mar

:minimum acceptable return

Examples

r <- runif(100,0,1) # generate random number to simulate returns
pt.roy(r,0.024)