PMTD function

Minimum Tail Dependent Portfolio

This function computes the solution of a minimum tail dependent portfolio (long-only).

PMTD(Returns, method = c("EmpTC", "EVT"), k = NULL, percentage = TRUE,
     optctrl = ctrl(),...)

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.

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.

Returns

An object of formal class "PortSol".

Author(s)

Bernhard Pfaff

Note

The optimisation is conducted by calling cccp().

See Also

tdc, "PortSol"

Examples

data(StockIndex)
Rets <- returnseries(StockIndex, method = "discrete", trim = TRUE,
                     percentage = TRUE)
PMTD(Rets)