Dowd (version 0.12)

PCAESPlot: ES plot

Description

Estimates ES plot using principal components analysis

Usage

PCAESPlot(Ra, position.data)

Arguments

Ra

Matrix return data set where each row is interpreted as a set of daily observations, and each column as the returns to each position in a portfolio

position.data

Position-size vector, giving amount invested in each position

References

Dowd, K. Measuring Market Risk, Wiley, 2007.

Examples

# Computes PCA ES
   Ra <- matrix(rnorm(15*20),15,20)
   position.data <- rnorm(20)
   PCAESPlot(Ra, position.data)