riskFunctions: Risk Probability Functions

In LSPM: The Leverage Space Portfolio Modeler

Description

Functions to compute the probability of drawdown and ruin

Usage

  probDrawdown(lsp, DD, horizon, calc.max=10, error=0.001, sigma=3, snow=NULL)
  probRuin(lsp, DD, horizon, calc.max=10, error=0.001, sigma=3, snow=NULL)

Arguments

lsp	A lsp object.
DD	The maximum drawdown (probDrawdown) or percentage of starting equity at which ruin occurs (probRuin).
horizon	The number of holding periods.
calc.max	If horizon is greater than calc.max then the probability function will be calculated for horizon=1:calc.max and the probability at horizon will be estimated using those values.
error	Error level to determine permutation sample size.
sigma	Confidence level to determine permutation sample size.
snow	An optional snow object.

Value

The probability of drawdown or ruin, for all holding periods between 1 and horizon.

Author(s)

Joshua Ulrich

References

Vince, Ralph (2007) The Handbook of Portfolio Mathematics. New York: John Wiley & Sons, Inc.
Vince, Ralph (2009) The Leverage Space Trading Model. New York: John Wiley & Sons, Inc.

LSPM documentation built on May 2, 2019, 5:54 p.m.