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Computes optimal capital allocations based on some standard principles such as Haircut, Overbeck type II and the Covariance Allocation Principle. It also provides some shortcuts for obtaining the Value at Risk and the Expectation Shortfall, using both the normal and the t-student distribution, see Urbina and Guillén (2014)<doi:10.1016/j.eswa.2014.05.017> and Urbina (2013)<http://hdl.handle.net/2099.1/19443>.
| Version: | 0.5 |
| Imports: | mathjaxr |
| Published: | 2023-02-11 |
| DOI: | 10.32614/CRAN.package.OCA |
| Author: | Jilber Urbina |
| Maintainer: | Jilber Urbina <jurbina at cipadla.com> |
| License: | GPL-2 |
| NeedsCompilation: | no |
| Materials: | NEWS |
| CRAN checks: | OCA results |
| Reference manual: | OCA.pdf |
| Package source: | OCA_0.5.tar.gz |
| Windows binaries: | r-devel: OCA_0.5.zip, r-release: OCA_0.5.zip, r-oldrel: OCA_0.5.zip |
| macOS binaries: | r-release (arm64): OCA_0.5.tgz, r-oldrel (arm64): OCA_0.5.tgz, r-release (x86_64): OCA_0.5.tgz, r-oldrel (x86_64): OCA_0.5.tgz |
| Old sources: | OCA archive |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.