Drawdown Maximum for Gain Multiple (drawdownmulti_dev_max_g)
Contents
Drawdown Maximum for Gain Multiple. Suppose we have k=1,..., K portfolio return sample-paths. For every sample-path k, and every time moment, j=1,...J , portfolio -drawdown = -d(k,j) = maxn (-(uncompounded cumulative portfolio return at time moment n on sample-path k ) + (uncompounded cumulative portfolio return at time moment j on sample-path k )). Drawdown Maximum for Gain Multiple = maximum of components of the vector (-d(1,1), ..., -d(K,J)) .
Syntax
drawdownmulti_dev_max_g( matrix_1,matrix_2,...,matrix_K) |
short call |
drawdownmulti_dev_max_g_name( matrix_1,matrix_2,...,matrix_K) |
call with optional name |
Parameters
matrix_k is a Matrix of Scenarios:
where the header row contains names of variables (except scenario_probability, and scenario_benchmark). Other rows contain numerical data. The scenario_probability, and scenario_benchmark columns are optional.
.
Mathematical Definition
Drawdown Maximum for Gain Multiple function is calculated as follows
,
where:
,
are scenarios for Loss Function (See section Loss and Gain Functions)
is an argument of Drawdown Deviation Maximum for Gain Multiple function.
Example
See also
CDaR, CDaR for Gain, Drawdown Maximum, Drawdown Maximum for Gain, Drawdown Average, Drawdown Average for Gain, CDaR Multiple, CDaR for Gain Multiple, Drawdown Maximum Multiple, Drawdown Average Multiple, Drawdown Average for Gain Multiple