Searched +refs:mVaR +refs:MM (Results 1 – 3 of 3) sorted by relevance
| /dports/finance/R-cran-PerformanceAnalytics/PerformanceAnalytics/ |
| H A D | NEWS | 241 * GES.MM
242 * GVaR.MM
243 * mES.MM
244 * mVaR.MM
254 * SR.GES.MM
256 * SR.mES.MM
257 * SR.mVaR.MM
323 skewness.MM
329 StdDev.MM
332 M3.MM
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| /dports/finance/R-cran-PerformanceAnalytics/PerformanceAnalytics/inst/doc/ |
| H A D | EstimationComoments.Rnw | 79 In addition, the contribution of each asset to the modified VaR (mVaR) or modified ES (mES) of the …
84 obtain more accurate estimates of mVaR and mES, or any other application involving the higher
90 the mVaR and mES values. It is not our aim however to draw any conclusions about which method is
122 m3 <- M3.MM(edhec)
123 m4 <- M4.MM(edhec)
138 m3port_2 <- PerformanceAnalytics:::portm3(w, M3.MM(edhec))
162 m3 <- M3.MM(edhec, unbiased = TRUE)
526 m3 <- M3.MM(edhec)
527 m4 <- M4.MM(edhec)
546 … weights = w, mu = m, sigma = sigma, m3 = M3.MM(edhec, as.mat = F), m4 = M4.MM(edhec, as.mat = F))
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| /dports/finance/R-cran-PerformanceAnalytics/PerformanceAnalytics/vignettes/ |
| H A D | EstimationComoments.Rnw | 79 In addition, the contribution of each asset to the modified VaR (mVaR) or modified ES (mES) of the …
84 obtain more accurate estimates of mVaR and mES, or any other application involving the higher
90 the mVaR and mES values. It is not our aim however to draw any conclusions about which method is
122 m3 <- M3.MM(edhec)
123 m4 <- M4.MM(edhec)
138 m3port_2 <- PerformanceAnalytics:::portm3(w, M3.MM(edhec))
162 m3 <- M3.MM(edhec, unbiased = TRUE)
526 m3 <- M3.MM(edhec)
527 m4 <- M4.MM(edhec)
546 … weights = w, mu = m, sigma = sigma, m3 = M3.MM(edhec, as.mat = F), m4 = M4.MM(edhec, as.mat = F))
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