Maximum (max_risk)
Contents
Maximum. Maximum of Linear Loss scenarios.
Syntax
max_risk(matrix) |
short call |
max_risk_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 function is calculated as follows
,
where:
is Loss Function (See section Loss and Gain Functions)
is an argument of Maximum function.
Example
See also
Maximum for Gain, Maximum Deviation, 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