portfolioRisk           package:fPortfolio           R Documentation

_p_o_r_t_f_o_l_i_o_R_i_s_k

_D_e_s_c_r_i_p_t_i_o_n:

     Computes portfolio risk.

_U_s_a_g_e:

     covRisk(data, weights)
     varRisk(data, weights, alpha = 0.05)
     cvarRisk(data, weights, alpha = 0.05)

_A_r_g_u_m_e_n_t_s:

    data: a multivariate time series described by an S4 object of class
          'timeSeries'. 

 weights: a numeric vector of weights.  

   alpha: a numeric value, the confidence level, by default
          'alpha=0.05', i.e. 5%. 

_R_e_f_e_r_e_n_c_e_s:

     Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); _Portfolio
     Optimization with R/Rmetrics_,  Rmetrics eBook, Rmetrics
     Association and Finance Online, Zurich.

_E_x_a_m_p_l_e_s:

     ## data -
        Data = SMALLCAP.RET
        Data = Data[, c("BKE", "GG", "GYMB", "KRON")]
        Data
        
     ## weights - 
        nAssets = getNAssets(portfolioData(Data))
        Weights <- rep(1/nAssets, times = nAssets)
        
     ## covRisk -
        covRisk(Data, Weights)

     ## varRisk -
        varRisk(Data, Weights, alpha = 0.05)

     ## cvarRisk -
        cvarRisk(Data, Weights, alpha = 0.05)

