.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]