diff --git a/DESCRIPTION b/DESCRIPTION index f445bfd..5af6466 100644 --- a/DESCRIPTION +++ b/DESCRIPTION @@ -1,6 +1,6 @@ Package: portvine Title: Vine Based (Un)Conditional Portfolio Risk Measure Estimation -Version: 1.0.2.9000 +Version: 1.0.3 Authors@R: person("Emanuel", "Sommer", , "emanuel_sommer@gmx.de", role = c("cre", "aut")) Description: Following Sommer (2022) @@ -55,7 +55,6 @@ LazyData: true NeedsCompilation: yes Roxygen: list(markdown = TRUE) RoxygenNote: 7.2.3 -SystemRequirements: C++11 Collate: 'RcppExports.R' 'default_garch_spec.R' diff --git a/NEWS.md b/NEWS.md index eeb672a..b7c89a2 100644 --- a/NEWS.md +++ b/NEWS.md @@ -1,8 +1,12 @@ -# portvine 1.0.2.9000 +# portvine 1.0.3.9000 Current Development Version + +# portvine 1.0.3 + - Clarify what is meant as equally weighted portfolio in the documenation of the function `estimate_risk_roll` +- **Dependency management:** Due to the changes in the `BH` packages I dropped the system requirement `C++11` as suggested by the CRAN maintainers. # portvine 1.0.2 diff --git a/README.Rmd b/README.Rmd index 85fc287..d371e60 100644 --- a/README.Rmd +++ b/README.Rmd @@ -23,7 +23,7 @@ knitr::opts_chunk$set( [![lifecycle](https://img.shields.io/badge/lifecycle-stable-brightgreen.svg)](https://lifecycle.r-lib.org/articles/stages.html#stable) -Portfolio level unconditional as well as conditional risk measure estimation for backtesting and stress testing using Vine Copula and ARMA-GARCH models. The package implements the proposed approaches in [Sommer (2022)](https://mediatum.ub.tum.de/1658240). +Portfolio level unconditional as well as conditional risk measure estimation for backtesting and stress testing using Vine Copula and ARMA-GARCH models. The package implements the proposed approaches in [Sommer (2022)](https://mediatum.ub.tum.de/1658240) and [Sommer et al. (2023)](https://doi.org/10.1016/j.ecosta.2023.08.002). @@ -70,4 +70,4 @@ The risk estimation algorithms implemented in this package lend themselves perfe ## Acknowledgements -This package is built on the shoulder of giants most importantly the R packages [`rvinecopulib`](https://CRAN.R-project.org/package=rvinecopulib) and [`rugarch`](https://CRAN.R-project.org/package=rugarch). Thus a big thanks goes to all the contributors and maintainers! Also I would like to thank my supervisors Prof. Claudia Czado and M.Sc. Karoline Bax for giving me the opportunity to work on this project and their very dedicated supervision! +This package is built on the shoulder of giants most importantly the R packages [`rvinecopulib`](https://CRAN.R-project.org/package=rvinecopulib) and [`rugarch`](https://CRAN.R-project.org/package=rugarch). Thus a big thanks goes to all the contributors and maintainers! Also I would like to thank Claudia Czado and Karoline Bax for giving me the opportunity to work on this project in the first place and their dedicated collaboration along the way! diff --git a/README.md b/README.md index 7517979..1ad638f 100644 --- a/README.md +++ b/README.md @@ -16,7 +16,8 @@ coverage](https://codecov.io/gh/EmanuelSommer/portvine/branch/master/graph/badge Portfolio level unconditional as well as conditional risk measure estimation for backtesting and stress testing using Vine Copula and ARMA-GARCH models. The package implements the proposed approaches in -[Sommer (2022)](https://mediatum.ub.tum.de/1658240). +[Sommer (2022)](https://mediatum.ub.tum.de/1658240) and [Sommer et +al. (2023)](https://doi.org/10.1016/j.ecosta.2023.08.002). ## Installation @@ -42,19 +43,15 @@ portfolio level risk measure estimation are based on my masters thesis at the chair of Mathematical Statistics at the TUM which you can find [here](https://mediatum.ub.tum.de/1658240). The general idea of the unconditional risk measure estimation approach is summarized in the -flowchart below for a -![d](https://latex.codecogs.com/png.image?%5Cdpi%7B110%7D&space;%5Cbg_white&space;d "d")-dimensional -portfolio. +flowchart below for a $d$-dimensional portfolio.


For the single conditional approach the general idea for a -![d](https://latex.codecogs.com/png.image?%5Cdpi%7B110%7D&space;%5Cbg_white&space;d "d")-dimensional -portfolio and a market index -![I](https://latex.codecogs.com/png.image?%5Cdpi%7B110%7D&space;%5Cbg_white&space;I "I") -is summarized in the flowchart below. +$d$-dimensional portfolio and a market index $I$ is summarized in the +flowchart below.
@@ -95,6 +92,6 @@ packages [`rvinecopulib`](https://CRAN.R-project.org/package=rvinecopulib) and [`rugarch`](https://CRAN.R-project.org/package=rugarch). Thus a big thanks goes to all the contributors and maintainers! Also I would like -to thank my supervisors Prof. Claudia Czado and M.Sc. Karoline Bax for -giving me the opportunity to work on this project and their very -dedicated supervision! +to thank Claudia Czado and Karoline Bax for giving me the opportunity to +work on this project in the first place and their dedicated +collaboration along the way! diff --git a/cran-comments.md b/cran-comments.md index 0fcd820..a2c9ad8 100644 --- a/cran-comments.md +++ b/cran-comments.md @@ -1,3 +1,7 @@ +## Version 1.0.3 of the portvine package (dependency management) + +Due to the changes in the `BH` packages I dropped the system requirement `C++11` as suggested by the CRAN maintainers. + ## Version 1.0.2 of the portvine package (just Bugfixes) Besides the bugfixes mentioned below no changes to the package were made.