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)
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.
A simple utility function for the calculation and understanding of some of the risk and deviation measures implemented in the package.
A numeric value representing the risk/deviation measure.
Alexios Galanos