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: 0.5
Imports: mathjaxr
Published: 2023-02-11
Author: Jilber Urbina
Maintainer: Jilber Urbina <jurbina at cipadla.com>
License: GPL-2
NeedsCompilation: no
Materials: NEWS
CRAN checks: OCA results

Documentation:

Reference manual: OCA.pdf

Downloads:

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
Old sources: OCA archive

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