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I'm ok with the notions of component and marginal VaR but can't retrieve results from marginal. First what is the PortfolioVaR with the portfolio_method="marginal" ? Except the sign, the 2 figures I get from these functions for...
sadako wrote: > > > >> you can see the code with: PerformanceAnalytics:::VaR.Marginal >> > > I'm having a look, maybe the difference stems from the application of > Return.portfolio in the marginal case... > I think we don't get the same univariate portfolio...
braverock wrote: > > On Sun, 2011-06-19 at 03:19 -0700, sadako wrote: >> I'm ok with the notions of component and marginal VaR but can't retrieve >> results from marginal. >> >> First what is the PortfolioVaR with the portfolio_method...
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