kappag {Risk} | R Documentation |
Computes the Kappa risk measure for a given ditribution
kappag(spec, alpha, n, a, b, ...)
spec |
a character string specifying the distribution (for example, "norm" corresponds to the standard normal) |
alpha |
a real valued parameter, see Chan and Nadarajah for details |
n |
a positive integer valued parameter, see Chan and Nadarajah for details |
a |
the lower end point of the distribution specified by |
b |
the upper end point of the distribution specified by |
... |
other parameters |
An object of the same length as alpha
, giving the Kappa risk measure of the distribution specified by spec
Stephen Chan, Saralees Nadarajah
S. Chan and S. Nadarajah, Risk: An R package for risk measures, submitted
P. D. Kaplan and J. A. Knowles, Kappa: A generalized downside risk-adjusted performance measure, Miscellaneous Publication, Morningstar Associates and York Hedge Fund Strategies, 2004
kappag("norm", 2, 5, -Inf, Inf)