OCA: Optimal Capital Allocations

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: 0.1
Published: 2017-02-08
Author: Jilber Urbina
Maintainer: Jilber Urbina <jilberurbina at gmail.com>
License: GPL-2
NeedsCompilation: no
CRAN checks: OCA results

Downloads:

Reference manual: OCA.pdf
Package source: OCA_0.1.tar.gz
Windows binaries: r-devel: OCA_0.1.zip, r-release: OCA_0.1.zip, r-oldrel: OCA_0.1.zip
OS X El Capitan binaries: r-release: OCA_0.1.tgz
OS X Mavericks binaries: r-oldrel: OCA_0.1.tgz

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