Documentation

Asset Returns and Scenarios

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

Using Objects

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

Functions

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