portfolio-pfolioRisk {fPortfolio}

portfolioRisk

Description

Computes covariance and CVaR portfolio risk.

Usage

covRisk(data, weights)
varRisk(data, weights, alpha = 0.05)
cvarRisk(data, weights, alpha = 0.05)

Arguments

data

a multivariate time series described by an S4 object of class timeSeries.

weights

a numeric vector of weights.

alpha

a numeric value, the confidence level, by default alpha=0.05, i.e. 5%.

References

Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.