[R-SIG-Finance] varRisk in fPortfolio package

[Cedrick W. Johnson]

 > varRisk
function (data, weights, alpha = 0.05)
{
    if (inherits(data, "timeSeries"))
        data <- getDataPart(data)
    weights = as.vector(weights)
    X = as.matrix(data) %*% weights
    VaR = quantile(X, alpha, type = 1)
    names(VaR) <- paste("VaR.", alpha * 100, "%", sep = "")
    VaR
}
<environment: namespace:fPortfolio>

from ?varRisk


      References

Wuertz, D., Chalabi, Y., Chen W., Ellis A. (2009); /Portfolio 
Optimization with R/Rmetrics/, Rmetrics eBook, Rmetrics Association and 
Finance Online, Zurich


-cedrick




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)
>  
> Thanks.
>  
> Wei-han
>
>
>
>       
> 	[[alternative HTML version deleted]]
>
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