[R-SIG-Finance] varRisk in fPortfolio package

[Brian G. Peterson]

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