alpha {portfolio.optimization} | R Documentation |
alpha
sets a new alpha for VaR and Expected Shortfall
alpha(model, alpha)
model |
the portfolio.model to be changed |
alpha |
the value alpha (between 0 and 1) |
the adapted portfolio.model
Ronald Hochreiter, ronald@algorithmic.finance
data(sp100w17av30s) model <- optimal.portfolio(scenario.set) cvar95 <- optimal.portfolio(objective(model, "expected.shortfall")) cvar90 <- optimal.portfolio(alpha(cvar95, 0.1))