| portfolioRisk {fPortfolio} | R Documentation |
Computes portfolio risk.
covRisk(data, weights) varRisk(data, weights, alpha = 0.05) cvarRisk(data, weights, alpha = 0.05)
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%.
|
Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.
## data -
Data = SMALLCAP.RET
Data = Data[, c("BKE", "GG", "GYMB", "KRON")]
Data
## weights -
nAssets = getNAssets(portfolioData(Data))
Weights <- rep(1/nAssets, times = nAssets)
## covRisk -
covRisk(Data, Weights)
## varRisk -
varRisk(Data, Weights, alpha = 0.05)
## cvarRisk -
cvarRisk(Data, Weights, alpha = 0.05)