alpha {portfolio.optimization}

Set new alpha of a portfolio.model

Description

alpha sets a new alpha for VaR and Expected Shortfall

Usage

alpha(model, alpha)

Arguments

model

the portfolio.model to be changed

alpha

the value alpha (between 0 and 1)

Value

the adapted portfolio.model

Author(s)

Ronald Hochreiter, [e-mail]

Examples

data(sp100w17av30s)
model <- optimal.portfolio(scenario.set)
cvar95 <- optimal.portfolio(objective(model, "expected.shortfall"))
cvar90 <- optimal.portfolio(alpha(cvar95, 0.1))