CDaR

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

portfolio weighting vector, default NULL, see Details

weights

generate geometric (TRUE) or simple (FALSE) 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.

multivariate

models

distribution

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.

Brian G Peterson

PerformanceAnalytics

Econometric tools for performance and risk analysis.

CDD function

<ul><li>drawdown</li><li>conditional drawdown</li><li>conditional drawdown at risk</li></ul>

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

Description

Usage

Arguments

concept

References

See Also

Examples