XlQuant
In This Topic
    PORT.CVaR.STUDENT
    In This Topic
    Returns the Conditional Value-At-Risk of a Student-t Linear Model

    ARGUMENTS

    Asset returns Mean of asset returns Vector
    Covariance Covariance of asset returns Matrix
    Weights Vector of weights Vector
    Portfolio The current value of the portfolio Real number
    Alpha The significance level Real number
    Df Degrees of freedom Real number

     

     

    XlQuant version : 1.0.16.0