Calculate Uryasev's proposed Conditional Drawdown at Risk (CDD or CDaR) measure
For some confidence level p, the conditional drawdown is the the mean of the worst p\% drawdowns.
CDD(R, weights = NULL, geometric = TRUE, invert = TRUE, p = 0.95, ...)
R |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
weights |
portfolio weighting vector, default NULL, see Details |
geometric |
utilize geometric chaining (TRUE) or simple/arithmetic chaining (FALSE) to aggregate returns, default TRUE |
invert |
TRUE/FALSE whether to invert the drawdown measure. see Details. |
p |
confidence level for calculation, default p=0.95 |
... |
any other passthru parameters |
Brian G. Peterson
Chekhlov, A., Uryasev, S., and M. Zabarankin. Portfolio Optimization With Drawdown Constraints. B. Scherer (Ed.) Asset and Liability Management Tools, Risk Books, London, 2003 http://www.ise.ufl.edu/uryasev/drawdown.pdf
data(edhec) t(round(CDD(edhec),4))
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