CDaR

an xts, vector, matrix, data frame, timeSeries or zoo object of
asset returns

portfolio weighting vector, default NULL, see Details

weights

utilize geometric chaining (TRUE) or simple/arithmetic chaining (FALSE) to aggregate returns,
default TRUE

geometric

TRUE/FALSE whether to invert the drawdown measure.  see
Details.

invert

confidence level for calculation, default p=0.95


For some confidence level $p$, the conditional drawdown is the the mean
of the worst $p\%$ drawdowns.


Collection of econometric functions for
performance and risk analysis. This package aims to aid
practitioners and researchers in utilizing the latest
research in analysis of non-normal return streams.  In
general, it is most tested on return (rather than
price) data on a regular scale, but most functions will
work with irregular return data as well, and increasing
numbers of functions will work with P&L or price data
where possible.

CDD: Calculate Uryasev's proposed Conditional Drawdown at Risk (CDD or CDaR) measure

Description

Usage

Arguments

References

See Also

Examples