# Whoops! I have just seen there's a little mistake
# in the 'sharpe' function, because I had to use
# 'w' array instead of 'ead' in the cm.CVaR function!
# This does not change the main features of my,
# but you should be aware of it
---
# The function to be minimized
sharpe <- function(w) {
- (t(w) %*% y) / cm.CVaR(M, lgd, ead, N, n, r, rho, alpha, rating)
}
# This becomes...
sharpe <- function(w) {
- (t(w) %*% y) / cm.CVaR(M, lgd, w, N, n, r, rho, alpha, rating)
}
# ...substituting 'ead' with 'w'.
--
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