CDD {PerformanceAnalytics} | R Documentation |
Calculate Uryasev's proposed Conditional Drawdown at Risk (CDD or CDaR) measure
Description
For some confidence level p
, the conditional drawdown is the the mean
of the worst p\%
drawdowns.
Usage
CDD(R, weights = NULL, geometric = TRUE, invert = TRUE, p = 0.95, ...)
Arguments
R |
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 |
Author(s)
Brian G. Peterson
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
See Also
Examples
data(edhec)
t(round(CDD(edhec),4))
[Package PerformanceAnalytics version 2.0.4 Index]