[Returnanalytics-commits] r3524 - in pkg/PerformanceAnalytics: . man

[noreply at r-forge.r-project.org]

Author: braverock
Date: 2014-09-04 12:12:27 +0200 (Thu, 04 Sep 2014)
New Revision: 3524

Modified:
   pkg/PerformanceAnalytics/DESCRIPTION
   pkg/PerformanceAnalytics/man/VaR.Rd
Log:
- update docs


Modified: pkg/PerformanceAnalytics/DESCRIPTION
===================================================================
--- pkg/PerformanceAnalytics/DESCRIPTION	2014-09-04 10:06:12 UTC (rev 3523)
+++ pkg/PerformanceAnalytics/DESCRIPTION	2014-09-04 10:12:27 UTC (rev 3524)
@@ -1,7 +1,7 @@
 Package: PerformanceAnalytics
 Type: Package
 Title: Econometric tools for performance and risk analysis.
-Version: 1.4.3523
+Version: 1.3.3524
 Date: $Date$
 Author: Peter Carl, Brian G. Peterson
 Maintainer: Brian G. Peterson <brian at braverock.com>
@@ -22,17 +22,15 @@
     Hmisc,
     MASS,
     quantmod,
-    quadprog,
     gamlss,
     robustbase,
     quantreg,
-    gplots,
-    ff
+    gplots
 License: GPL
 URL: http://r-forge.r-project.org/projects/returnanalytics/
 Copyright: (c) 2004-2014
-Contributors: Kris Boudt,  Diethelm Wuertz, Eric Zivot, Matthieu Lestel
+Contributors: Kris Boudt, Ross Bennett, Josh Ulrich, Eric Zivot, Matthieu Lestel
 Thanks: A special thanks for additional contributions or patches from
     Stefan Albrecht, Khahn Nygyen, Jeff Ryan,
-    Josh Ulrich, Sankalp Upadhyay, Tobias Verbeke,
+    Sankalp Upadhyay, Tobias Verbeke, Diethelm Wuertz
     H. Felix Wittmann, Ram Ahluwalia, R. Douglas Martin

Modified: pkg/PerformanceAnalytics/man/VaR.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/VaR.Rd	2014-09-04 10:06:12 UTC (rev 3523)
+++ pkg/PerformanceAnalytics/man/VaR.Rd	2014-09-04 10:12:27 UTC (rev 3524)
@@ -144,6 +144,18 @@
 
 Rockafellar, Terry and Uryasev, Stanislav. Optimization of Conditional VaR.
 The Journal of Risk, 2000, vol. 2, 21-41.
+
+Dowd, Kevin. Measuring Market Risk, John Wiley and Sons, 2010.
+
+Jorian, Phillippe. Value at Risk, the new benchmark for managing financial risk.
+3rd Edition, McGraw Hill, 2006.
+
+Hallerback, John. "Decomposing Portfolio Value-at-Risk: A General Analysis",
+2003. The Journal of Risk vol 5/2.
+
+Yamai and Yoshiba (2002). "Comparative Analyses of Expected Shortfall and
+   Value-at-Risk: Their Estimation Error, Decomposition, and Optimization",
+   Bank of Japan.
 }
 \seealso{
 \code{\link{SharpeRatio.modified}} \cr