.RISK_post

returns

prob

alpha

<p>Computes the empirical Conditional Value-at-Risk, Value-at-Risk and Mean Absolute Deviation for losses with given probabilities</p>

internal

Two functions for financial portfolio optimization by linear programming are provided. One function implements Benders decomposition algorithm and can be used for very large data sets. The other, applicable for moderate sample sizes, finds optimal portfolio which has the smallest distance to a given benchmark portfolio.

Andrzej Palczewski

PortfolioOptim

Small/Large Sample Portfolio Optimization

Aleksandra Dabrowska

.RISK_post function

Computes the empirical Conditional Value-at-Risk, Value-at-Risk and Mean Absolute Deviation for losses with given probabilities — .RISK_post

Computes the empirical Conditional Value-at-Risk, Value-at-Risk and Mean Absolute Deviation for losses with given probabilities

.RISK_post: Computes the empirical Conditional Value-at-Risk, Value-at-Risk and Mean Absolute Deviation for losses with given probabilities

Description

Usage

Arguments

Value