The code is as follows:
monthreturns<-read.zoo('monthlyReturn date.csv',sep=",",header=T)
monthreturns<-as.xts(monthreturns,order.by
=index(monthreturns),frequency=NULL)*W0
head(monthreturns)
dim(monthreturns)
portnames<-c('acc','cipla','cmc','idbi','ifci') ----portfolio names (5
stocks)
mu.vec<-c(0.1,0.2,0.2,0.4,0.1)
names(mu.vec)<-portnames
covmatr<-cov(monthreturns,use='complete')
sigma.matr<-sqrt(covmatr)
head(sigma.matr)
dim(sigma.matr)
library(PerformanceAnalytics)
VaR(r=monnthreturns,p=0.99,method='historical',mu=mu.vec,sigma=sigma.matr,weights=NULL)*W0
*But here I am getting the following error: *
>
VaR(r=monnthreturns,p=0.99,method='historical',mu=mu.vec,sigma=sigma.matr,weights=NULL)*W0
Error in VaR(r = monnthreturns, p = 0.99, method = "historical", mu =
mu.vec, :
number of items in weights not equal to number of items in the mean vector
* *
*could anyone help*
[[alternative HTML version deleted]]
______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
