[R] Error with Expected Shortfall function, ES.

[Uwe Ligges]

On 24.01.2013 13:33, kevj1980 wrote:
> ES function gives the below error.
>
>> ES(sim, p=.95, method=c("modified"),portfolio_method=c("component"),
>> weights=w1)


We get:
Error: object 'ES' not found


Uwe Ligges


> /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.
>
> ***********************
> Notes:
> sim is a 1000*4 matrix
>
> w1 is 4*1 column vector
> **********************
>
> As always, any pointers or expertise will be forever great-fully received!!!
>
> kevj
>
>
>
> --
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