Maximum Deviation (max_dev)
Contents
Maximum Deviation. Maximum of ((Linear Loss ) - (Average over Linear Loss scenarios)) scenarios.
Syntax
max_dev(matrix) |
short call |
max_dev_name(matrix) |
call with optional name |
Parameters
matrix 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
Maximum Deviation function is calculated as follows
,
where:
is Maximum Risk for Loss (max_risk) function,
,
is Loss Function (See section Loss and Gain Functions)
is an argument of Maximum Deviation function.
Example
See also
Maximum, Maximum for Gain, Maximum Deviation for Gain, Maximum CVaR , Maximum CVaR for Gain, Maximum CVaR Deviation, Maximum CVaR Deviation for Gain, Maximum VaR , Maximum VaR for Gain, Maximum VaR Deviation, Maximum VaR Deviation for Gain