Partial Moment Gain Deviation Normal Independent (pm_ni_dev_g)
Contents
Partial Moment Gain Deviation Normal Independent. Expected access of ( - (Loss ) + (Average Loss )) over some fixed threshold for the Loss with independent normally distributed random coefficients.
Syntax
pm_ni_dev_g(w,matrix_mn,matrix_vr) |
short call |
pm_ni_dev_g_name(w,matrix_mn,matrix_vr) |
call with optional name |
Parameters
matrix_mn is a PSG matrix of mean values:
where the header row contains names of variables. The second row contains numerical data.
matrix_vr is a PSG matrix of variance values:
where the header row contains names of variables. The second row contains numerical data.
 | is a threshold value. |
Mathematical Definition
Partial Moment Gain Deviation Normal Independent function is calculated as follows:
,
where
is Partial Moment Penalty for Loss Normal Independent function,
,
,
is the standard normal distribution,
is probability density function of the standard normal distribution,
is an argument of function.
Remarks
matrix_mn is not used in the calculation of Partial Moment Gain Deviation Normal Independent function.
Example
See also
Partial Moment Group, Partial Moment Deviation Normal Independent.