Asset Returns and Scenarios

Evaluate scenarios for portfolio asset returns, including assets with missing data and financial time series data

Classes

PortfolioCVaR PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis

Functions

getScenarios Obtain scenarios from PortfolioCVaR object
setScenarios Set asset returns scenarios by direct matrix for PortfolioCVaR object
estimateScenarioMoments Estimate mean and covariance of asset return scenarios in PortfolioCVaR object
simulateNormalScenariosByMoments Simulate multivariate normal asset return scenarios from mean and covariance of asset returns for PortfolioCVaR object
simulateNormalScenariosByData Simulate multivariate normal asset return scenarios from data for PortfolioCVaR object
setCosts Set up proportional transaction costs for PortfolioCVaR object
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