cond_drawdown: Conditional Drawdown
In veldanie/SuraInvestmentAnalytics: Investment Analytics
View source: R/cond_drawdown.R
cond_drawdown R Documentation
Conditional Drawdown
Description
Estimates de covariance using weighted averages of products of past returns.
Usage
cond_drawdown(series, w, pers_end_ind, pers_matrix, quant = 0.9,
type = "log")
Arguments
series
data frame series.
w
Portfolio weights.
pers_end_ind
Periods endpoint index.
pers_matrix
Periods matrix. Used to speed up computations and parallel computing.
quant
Quantile.
type
Type of returns: arithmetic (discrete) or log (continuous)
Value
Conditional Drawdown.
veldanie/SuraInvestmentAnalytics documentation built on April 14, 2024, 10:29 p.m.
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View source: R/cond_drawdown.R
| cond_drawdown | R Documentation |
Conditional Drawdown
Description
Estimates de covariance using weighted averages of products of past returns.
Usage
cond_drawdown(series, w, pers_end_ind, pers_matrix, quant = 0.9,
type = "log")
Arguments
series |
data frame series. |
w |
Portfolio weights. |
pers_end_ind |
Periods endpoint index. |
pers_matrix |
Periods matrix. Used to speed up computations and parallel computing. |
quant |
Quantile. |
type |
Type of returns: arithmetic (discrete) or log (continuous) |
Value
Conditional Drawdown.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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