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math/R-cran-cvar: New port
Compute Expected Shortfall and Value at Risk for Continuous Distributions
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SUBDIR += R-cran-combinat
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SUBDIR += R-cran-conf.design
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SUBDIR += R-cran-conquer
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SUBDIR += R-cran-cvar
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SUBDIR += R-cran-date
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SUBDIR += R-cran-ddalpha
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SUBDIR += R-cran-deldir
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math/R-cran-cvar/Makefile
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math/R-cran-cvar/Makefile
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PORTNAME= cvar
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DISTVERSION= 0.5
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CATEGORIES= math
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DISTNAME= ${PORTNAME}_${DISTVERSION}
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MAINTAINER= ygy@FreeBSD.org
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COMMENT= Compute Expected Shortfall and Value at Risk for Continuous Distributions
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WWW= https://geobosh.github.io/cvar/
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LICENSE= GPLv2+
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RUN_DEPENDS= R-cran-Rdpack>=0.8:devel/R-cran-Rdpack \
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R-cran-gbutils>0:math/R-cran-gbutils
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TEST_DEPENDS= R-cran-testthat>0:devel/R-cran-testthat \
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R-cran-PerformanceAnalytics>0:finance/R-cran-PerformanceAnalytics \
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R-cran-fGarch>0:finance/R-cran-fGarch
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USES= cran:auto-plist
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.include <bsd.port.mk>
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math/R-cran-cvar/distinfo
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math/R-cran-cvar/distinfo
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TIMESTAMP = 1670370144
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SHA256 (cvar_0.5.tar.gz) = 7e721a68a321acbc74149d6ae9c6e3b0c1f896df9fa7786b8b40264e1db2db18
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SIZE (cvar_0.5.tar.gz) = 255174
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7
math/R-cran-cvar/pkg-descr
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math/R-cran-cvar/pkg-descr
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Compute expected shortfall (ES) and Value at Risk (VaR) from a quantile
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function, distribution function, random number generator or probability density
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function. ES is also known as Conditional Value at Risk (CVaR). Virtually any
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continuous distribution can be specified. The functions are vectorized over the
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arguments. The computations are done directly from the definitions, see e.g.
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Acerbi and Tasche (2002) <doi:10.1111/1468-0300.00091>. Some support for GARCH
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models is provided, as well.
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