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How to compute modified-CVaR in the PerformanceAnalytics package?

My objective is to measure the modified-CVAR for a portfolio given its weights and matrix of security returns. Luckily the wonderful package PerformanceAnalytics has an ES() function that does just ...

risk r programming performanceanalytics

asked Sep 23 '11 at 3:40

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How to compute modified-CVaR in the PerformanceAnalytics package?

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