CVaR Component Negative (cvar_comp_neg)
Contents
CVaR Component Negative. Average of the largest (1-α)% of scaled components of a -( vector), where 0≤α≤1
Syntax
cvar_comp_neg(α, matrix) |
short call; |
cvar_comp_neg_name(α, matrix) |
call with optional name. |
Parameters
matrix is a PSG matrix:
where the header row contains names of variables. The second row contains numerical data.
is a confidence level.
Mathematical Definition
CVaR Component Negative is calculated as follows:
,
where
is CVaR Component Positive function,
is an argument of CVaR Component Negative function.
Example
See also
Polynomial Absolute, Relative Entropy, CVaR Component Positive, CVaR Component Absolute, VaR Component Positive, VaR Component Negative, Maximum Component Positive, Maximum Component Negative, Maximum Component Absolute, Quadratic Function, Squareroot Quadratic, Logarithms Sum