CDD: Calculate Uryasev's proposed Conditional Drawdown at Risk...

In braverock/PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

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

ES maxDrawdown

Examples

data(edhec)
t(round(CDD(edhec),4))

braverock/PerformanceAnalytics documentation built on Feb. 16, 2024, 5:37 a.m.