Risk Probability Functions

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Description

Functions to compute the probability of drawdown and ruin

Usage

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  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.