[R] Error with Expected Shortfall function, ES.

kevj1980 kevin.kidney at cameronhume.com
Thu Jan 24 13:33:40 CET 2013

ES function gives the below error.

> ES(sim, p=.95, method=c("modified"),portfolio_method=c("component"),
> weights=w1)

/Error in checkData(R, method = "xts", ...) : The data cannot be converted
into a time series.  If you are trying to pass in names from a data object
with one column, you should use the form 'data[rows, columns, drop =
FALSE]'.  Rownames should have standard date formats, such as '1985-03-15'.

The problem, I believe, is when the function comes to building a time-series
of portfolio returns when multiplying matrix 'sim' with vector 'w1'.  I
think vector 'w1' may be posing the problem, but I do not know why.

sim is a 1000*4 matrix

w1 is 4*1 column vector

As always, any pointers or expertise will be forever great-fully received!!!


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