pt.roy {YRmisc} | R Documentation |
Roy's safety-first criterion is a risk management technique that allows to choose a portfolio based on the criterion that the probability of the portfolio's return falling below a minimum desired threshold is minimized.
pt.roy(r,mar)
r |
:a vector of a risk asset return |
mar |
:minimum acceptable return |
r <- runif(100,0,1) # generate random number to simulate returns
pt.roy(r,0.024)