alpha function

Set new alpha of a portfolio.model

alpha sets a new alpha for VaR and Expected Shortfall

alpha(model, alpha)

Arguments

• model: the portfolio.model to be changed
• alpha: the value alpha (between 0 and 1)

Returns

the adapted portfolio.model

Examples

data(sp100w17av30s)
model <- optimal.portfolio(scenario.set)
cvar95 <- optimal.portfolio(objective(model, "expected.shortfall"))
cvar90 <- optimal.portfolio(alpha(cvar95, 0.1))

Author(s)

Ronald Hochreiter, ronald@algorithmic.finance