portfolioRisk {fPortfolio} | R Documentation |
Computes portfolio risk.
covRisk(data, weights) varRisk(data, weights, alpha = 0.05) cvarRisk(data, weights, alpha = 0.05)
data |
a multivariate time series described by an S4 object of class
timeSeries .
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weights |
a numeric vector of weights. |
alpha |
a numeric value, the confidence level, by default alpha=0.05 ,
i.e. 5%.
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