[Returnanalytics-commits] r3938 - pkg/Dowd/man

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

Author: dacharya
Date: 2015-08-11 09:41:12 +0200 (Tue, 11 Aug 2015)
New Revision: 3938

Added:
   pkg/Dowd/man/VarianceCovarianceVaR.Rd
Log:
Function VarianceCovarianceVaR added

Added: pkg/Dowd/man/VarianceCovarianceVaR.Rd
===================================================================
--- pkg/Dowd/man/VarianceCovarianceVaR.Rd	                        (rev 0)
+++ pkg/Dowd/man/VarianceCovarianceVaR.Rd	2015-08-11 07:41:12 UTC (rev 3938)
@@ -0,0 +1,43 @@
+% Generated by roxygen2 (4.1.1): do not edit by hand
+% Please edit documentation in R/VarianceCovarianceVaR.R
+\name{VarianceCovarianceVaR}
+\alias{VarianceCovarianceVaR}
+\title{Variance-covariance VaR for normally distributed returns}
+\usage{
+VarianceCovarianceVaR(vc.matrix, mu, positions, cl, hp)
+}
+\arguments{
+\item{vc.matrix}{Assumed variance covariance matrix for returns}
+
+\item{mu}{Vector of expected position returns}
+
+\item{positions}{Vector of positions}
+
+\item{cl}{Confidence level and is scalar or vector}
+
+\item{hp}{Holding period and is scalar or vector}
+}
+\description{
+Estimates the variance-covariance VaR of a
+portfolio assuming individual asset returns are normally distributed,
+for specified confidence level and holding period.
+}
+\examples{
+# Variance-covariance VaR for randomly generated portfolio
+   vc.matrix <- matrix(rnorm(16),4,4)
+   mu <- rnorm(4)
+   positions <- c(5,2,6,10)
+   cl <- .95
+   hp <- 280
+   VarianceCovarianceVaR(vc.matrix, mu, positions, cl, hp)
+}
+\author{
+Dinesh Acharya
+}
+\references{
+Dowd, K. Measuring Market Risk, Wiley, 2007.
+}
+\seealso{
+AdjustedVarianceCovarianceVaR
+}
+