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List:       r-sig-finance
Subject:    Re: [R-SIG-Finance] varRisk in fPortfolio package
From:       "Brian G. Peterson" <brian () braverock ! com>
Date:       2009-11-17 12:21:14
Message-ID: 4B02953A.5050108 () braverock ! com
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Wei-han Liu wrote:
> Hi R Users:
> 
> I am curious about the computational algorithm of the function listed below in \
> fPortfolio package. Or there is some relevant literature to develop this function? 
> varRisk(data,weights,alpha=0.05)
> 
All functions in R may be examined by simply typing the function name 
without parentesis or parameters, like so:

varRisk

?varRisk # should give you the documentation

Also, see package 'VaR'  for log-normal and general Pareto VaR 
calculated via Monte Carlo, and package PerformanceAnalytics for 
univariate, marginal, and portfolio component VaR and ES/CVaR calculated 
for historical, Gaussian, Cornish-Fisher, and kernel estimators, as well 
as charts showing rolling measures and sensitivity analysis.

Regards,

    - Brian  

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock

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