Drawdown Maximum for Gain (drawdown_dev_max_g)
Contents
Drawdown Maximum for Gain. For every time moment, j=1,...J , portfolio -drawdown = -d(j) = maxn (-(uncompounded cumulative portfolio return at time moment n ) + (uncompounded cumulative portfolio return at time moment j )). Drawdown Maximum for Gain = Maximum Component Positive of vector (-d(1), ...,- d(J)) = largest component of the vector (-d(1), ..., -d(J)).
Syntax
drawdown_dev_max_g(matrix) |
short call |
drawdown_dev_max_g_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
Drawdown Maximum for Gain function is calculated as follows
,
where:
,
are scenarios for Loss Function (See section Loss and Gain Functions)
is an argument of Drawdown Maximum for Gain.
Example
See also
CDaR, CDaR for Gain, Drawdown Maximum, Drawdown Average, Drawdown Average for Gain, CDaR Multiple, CDaR for Gain Multiple, Drawdown Maximum Multiple, Drawdown Maximum for Gain Multiple, Drawdown Average Multiple, Drawdown Average for Gain Multiple