mrc function

Marginal Contribution to Risk

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

mrc(weights, Sigma, percentage = TRUE)

Arguments

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

Details

The marginal contributions to risk are computed for a given dispersion matrix and weight vector.

Returns

numeric, the marginal risk contributions of the portfolio's asset.

Author(s)

Bernhard Pfaff