riskfun function

Portfolio Risk Measures

Calculates a given portfolio risk/deviation measure given a set of weights and matrix of returns, possible representing a forecast scenario.

riskfun(weights, Data, risk = c("mad", "ev", "minimax", "cvar", "cdar", "lpm"), 
benchmark = NULL, alpha = 0.05, moment = 1, threshold = 0, VaR = NULL, DaR = NULL)

Arguments

• weights: vector of weights.

• Data: Matrix of returns.

• risk: Choice of measure.

• benchmark: (Optional) vector of benchmark returns with same number of rows as Data.

• alpha: The lower quantile for the cvar and cdar

  measures.

• moment: The lpm measure moment.

• threshold: The lpm measure threshold. A value of 999 will subtract the portfolio mean.

• VaR: (Optional) The pre-calculated VaR for the cvar measure.

• DaR: (Optional) The pre-calculated DaR for the cdar measure.

Details

A simple utility function for the calculation and understanding of some of the risk and deviation measures implemented in the package.

Returns

A numeric value representing the risk/deviation measure.

Author(s)

Alexios Galanos