R help - Jun 2013 - error in VaR calculation

The code is as follows:



monthreturns<-read.zoo('monthlyReturn
date.csv',sep=",",header=T)

monthreturns<-as.xts(monthreturns,order.by
=index(monthreturns),frequency=NULL)*W0

head(monthreturns)

dim(monthreturns)



portnames<-c('acc','cipla','cmc','idbi','ifci')
----portfolio names (5
stocks)

mu.vec<-c(0.1,0.2,0.2,0.4,0.1)

names(mu.vec)<-portnames

covmatr<-cov(monthreturns,use='complete')

sigma.matr<-sqrt(covmatr)

head(sigma.matr)

dim(sigma.matr)



library(PerformanceAnalytics)

VaR(r=monnthreturns,p=0.99,method='historical',mu=mu.vec,sigma=sigma.matr,weights=NULL)*W0



*But here I am getting the following error: *
>
VaR(r=monnthreturns,p=0.99,method='historical',mu=mu.vec,sigma=sigma.matr,weights=NULL)*W0

Error in VaR(r = monnthreturns, p = 0.99, method = "historical", mu
mu.vec,  :

  number of items in weights not equal to number of items in the mean vector

* *

*could anyone help*

	[[alternative HTML version deleted]]

Hi,
I am your member. Pl help me with the solution.

rgds

	[[alternative HTML version deleted]]

r != R (you mis-typed the first argument to VaR).  This works:

library(PerformanceAnalytics)
data(sample_matrix)
x <- Return.calculate(as.xts(sample_matrix))
VaR(R=x, p=0.99, method="historical")

Best,
--
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com


On Tue, Jun 25, 2013 at 7:35 AM, G Girija <girijagun at gmail.com>
wrote:
> The code is as follows:
>
>
>
> monthreturns<-read.zoo('monthlyReturn
date.csv',sep=",",header=T)
>
> monthreturns<-as.xts(monthreturns,order.by
> =index(monthreturns),frequency=NULL)*W0
>
> head(monthreturns)
>
> dim(monthreturns)
>
>
>
>
portnames<-c('acc','cipla','cmc','idbi','ifci')
----portfolio names (5
> stocks)
>
> mu.vec<-c(0.1,0.2,0.2,0.4,0.1)
>
> names(mu.vec)<-portnames
>
> covmatr<-cov(monthreturns,use='complete')
>
> sigma.matr<-sqrt(covmatr)
>
> head(sigma.matr)
>
> dim(sigma.matr)
>
>
>
> library(PerformanceAnalytics)
>
>
VaR(r=monnthreturns,p=0.99,method='historical',mu=mu.vec,sigma=sigma.matr,weights=NULL)*W0
>
>
>
> *But here I am getting the following error: *
>
>>
>
VaR(r=monnthreturns,p=0.99,method='historical',mu=mu.vec,sigma=sigma.matr,weights=NULL)*W0
>
> Error in VaR(r = monnthreturns, p = 0.99, method = "historical",
mu > mu.vec,  :
>
>   number of items in weights not equal to number of items in the mean
vector
>
> * *
>
> *could anyone help*
>
>         [[alternative HTML version deleted]]
>
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.