Allocate a risk measure to components — allocate • prospicio

Euler allocation by co-measure: simulations are ranked by their total, and each component gets the distortion-weighted sum of its own draws. The contributions add up to risk_measure(x, distortion); for distortion("tvar", p) they are the CoTVaRs, E[X_j | total in its top 1 - p]. Simulations tied on the total share their weights. The components must add up to the portfolio being allocated.

Usage

allocate(x, distortion, ...)

Arguments

x: A predictive_distribution.
distortion: A distortion.
...: Unused; for methods.

Value

The keys data frame of x with a contribution column.

Examples

pd <- predictive_distribution(
  matrix(c(1, 4, 2, 3, 2, 1, 5, 6), ncol = 2),
  data.frame(lob = c("motor", "property"))
)
allocate(pd, distortion("tvar", 0.5))
#>        lob contribution
#> 1    motor          2.5
#> 2 property          5.5