| riskfun {parma} | R Documentation |
Portfolio Risk Measures
Description
Calculates a given portfolio risk/deviation measure given a set of weights and matrix of returns, possible representing a forecast scenario.
Usage
riskfun(weights, Data, risk = c("mad", "ev", "minimax", "cvar", "cdar", "lpm"),
benchmark = NULL, alpha = 0.05, moment = 1, threshold = 0, VaR = NULL, DaR = NULL)
Arguments
weights |
vector of weights. |
Data |
Matrix of returns. |
risk |
Choice of measure. |
benchmark |
(Optional) vector of benchmark returns with same number of rows as Data. |
alpha |
The lower quantile for the “cvar” and “cdar” measures. |
moment |
The “lpm” measure moment. |
threshold |
The “lpm” measure threshold. A value of 999 will subtract the portfolio mean. |
VaR |
(Optional) The pre-calculated VaR for the “cvar” measure. |
DaR |
(Optional) The pre-calculated DaR for the “cdar” measure. |
Details
A simple utility function for the calculation and understanding of some of the risk and deviation measures implemented in the package.
Value
A numeric value representing the risk/deviation measure.
Author(s)
Alexios Galanos