CDaR

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

PerformanceAnalytics

CDD function

<dl><dt>R</dt>
<dd>an xts, vector, matrix, data frame, timeSeries or zoo object of
asset returns</dd>
<dt>weights</dt>
<dd>portfolio weighting vector, default NULL, see Details</dd>
<dt>geometric</dt>
<dd>utilize geometric chaining (TRUE) or simple/arithmetic chaining (FALSE) to aggregate returns,
default TRUE</dd>
<dt>invert</dt>
<dd>TRUE/FALSE whether to invert the drawdown measure. see
Details.</dd>
<dt>p</dt>
<dd>confidence level for calculation, default p=0.95</dd>
<dt>...</dt>
<dd>any other passthru parameters</dd></dl>

Arguments

Author

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

<dl>

<dt>R</dt>
<dd>an xts, vector, matrix, data frame, timeSeries or zoo object of
asset returns</dd>


<dt>weights</dt>
<dd>portfolio weighting vector, default NULL, see Details</dd>


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


<dt>invert</dt>
<dd>TRUE/FALSE whether to invert the drawdown measure. see
Details.</dd>


<dt>p</dt>
<dd>confidence level for calculation, default p=0.95</dd>


<dt>...</dt>
<dd>any other passthru parameters</dd>

</dl>

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

Description

Usage

Arguments

Author

References

See Also

Examples