FilterStrategyLogNormalVaR function

Log Normal VaR with filter strategy

Generates Monte Carlo lognormal VaR with filter portfolio strategy

FilterStrategyLogNormalVaR(mu, sigma, number.trials, alpha, cl, hp)

Arguments

• mu: Mean arithmetic return
• sigma: Standard deviation of arithmetic return
• number.trials: Number of trials used in the simulations
• alpha: Participation parameter
• cl: Confidence Level
• hp: Holding Period

Returns

Lognormal VaR

Examples

# Estimates standard error of normal quantile estimate
   FilterStrategyLogNormalVaR(0, .2, 100, 1.2, .95, 10)

Author(s)

Dinesh Acharya

References

Dowd, K. Measuring Market Risk, Wiley, 2007.