an xts, vector, matrix, data frame, timeSeries or zoo object of
asset returns
weights
portfolio weighting vector, default NULL, see Details
geometric
utilize geometric chaining (TRUE) or simple/arithmetic chaining (FALSE) to aggregate returns,
default TRUE
invert
TRUE/FALSE whether to invert the drawdown measure. see
Details.
p
confidence level for calculation, default p=0.95
…
any other passthru parameters
References
Chekhlov, A., Uryasev, S., and M. Zabarankin. Portfolio
Optimization With Drawdown Constraints. B. Scherer (Ed.) Asset and Liability
Management Tools, Risk Books, London, 2003
http://www.ise.ufl.edu/uryasev/drawdown.pdf