FRAPO (version 0.3-7)

mrc: Marginal Contribution to Risk

Description

This function returns the marginal contributions to portfolio risk, whereby the latter is defined in terms of the portfolio standard deviation.

Usage

mrc(weights, Sigma, percentage = TRUE)

Arguments

weights

Vector: portfolio weights.

Sigma

Matrix: Variance-covariance matrix of portfolio assets.

percentage

Logical, whether the marginal risk contributions shall be returned as percentages that sum to 100 (default) or as decimal numbers.

Value

• numeric, the marginal risk contributions of the portfolio's asset.

Details

The marginal contributions to risk are computed for a given dispersion matrix and weight vector.