fPortfolio (version 2130.80)

portfolioRisk: portfolioRisk

Description

Computes portfolio risk.

Usage

covRisk(data, weights)
varRisk(data, weights, alpha = 0.05)
cvarRisk(data, weights, alpha = 0.05)

Arguments

data

a multivariate time series described by an S4 object of class timeSeries.

weights

a numeric vector of weights.

alpha

a numeric value, the confidence level, by default alpha=0.05, i.e. 5%.

References

Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); Portfolio Optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich.

Examples

## data -
   Data = SMALLCAP.RET
   Data = Data[, c("BKE", "GG", "GYMB", "KRON")]
   Data
   
## weights - 
   nAssets = getNAssets(portfolioData(Data))
   Weights <- rep(1/nAssets, times = nAssets)
   
## covRisk -
   covRisk(Data, Weights)

## varRisk -
   varRisk(Data, Weights, alpha = 0.05)

## cvarRisk -
   cvarRisk(Data, Weights, alpha = 0.05)