.RISK_post {PortfolioOptim} | R Documentation |
Computes the empirical Conditional Value-at-Risk, Value-at-Risk and Mean Absolute Deviation for losses with given probabilities
Description
Computes the empirical Conditional Value-at-Risk, Value-at-Risk and Mean Absolute Deviation for losses with given probabilities
Usage
.RISK_post(returns, prob, alpha)
Arguments
returns |
vector of losses |
prob |
vector of probability of losses |
alpha |
confidence level for CVaR and VaR |
Value
list of values
[Package PortfolioOptim version 1.1.1 Index]