FRAPO (version 0.3-8)

PMTD: Minimum Tail Dependent Portfolio

Description

This function computes the solution of a minimum tail dependent portfolio (long-only).

Usage

PMTD(Returns, method = c("EmpTC", "EVT"), k = NULL, percentage = TRUE, ...)

Arguments

Returns

A rectangular array of return data.

method

Character, the type of non-parametric estimation.

k

Integer, the threshold value for the order statistic. If left NULL, then k = sqrt(nrow(x)) is used.

percentage

Logical, whether the weights shall be returned as decimals or percentages (default).

...

Arguments are passed down to rank.

Value

An object of formal class "PortSol".

Details

Akin to the optimisation of a global minimum-variance portfolio, the minimum tail dependennt portfolio is determined by replacing the variance-covariance matrix with the matrix of the lower tail dependence coefficients as returned by tdc.

See Also

tdc, "PortSol"

Examples

data(StockIndex)
Rets <- returnseries(StockIndex, method = "discrete", trim = TRUE,
                     percentage = TRUE)
PMTD(Rets)