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

algebra

Accompanying package of the book 'Financial Risk Modelling
and Portfolio Optimisation with R', second edition. The data sets used in the book are contained in this package.

Bernhard Pfaff

FRAPO

Financial Risk Modelling and Portfolio Optimisation with R

mrc function

<dl> <dt>weights</dt>
<dd>Vector: portfolio weights.</dd> <dt>Sigma</dt>
<dd>Matrix: Variance-covariance matrix of portfolio assets.</dd> <dt>percentage</dt>
<dd><code>Logical</code>, whether the marginal risk
 contributions shall be returned as percentages that sum to 100
 (default) or as decimal numbers.</dd></dl>

Arguments

Author

Marginal Contribution to Risk — mrc

<dl>

 <dt>weights</dt>
<dd>Vector: portfolio weights.</dd>

 <dt>Sigma</dt>
<dd>Matrix: Variance-covariance matrix of portfolio assets.</dd>

 <dt>percentage</dt>
<dd><code>Logical</code>, whether the marginal risk
 contributions shall be returned as percentages that sum to 100
 (default) or as decimal numbers.</dd>

</dl>

mrc: Marginal Contribution to Risk

Description

Usage

Value

Arguments

Author

Details