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Asset Returns and Scenarios

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

Objects

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

Functions

getScenariosObtain scenarios from portfolio object
setScenariosSet asset returns scenarios by direct matrix
estimateScenarioMomentsEstimate mean and covariance of asset return scenarios
simulateNormalScenariosByMomentsSimulate multivariate normal asset return scenarios from mean and covariance of asset returns
simulateNormalScenariosByDataSimulate multivariate normal asset return scenarios from data
setCostsSet up proportional transaction costs for portfolio

Examples and How To

Concepts