FRAPO (version 0.4-2)

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,
     optctrl = ctrl(),...)

Value

An object of formal class "PortSol".

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).

optctrl

Object of class Rcpp_CTRL.

...

Arguments are passed down to rank.

Author

Bernhard Pfaff

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)