Partial Moment Two (pm2_pen)
Contents
Partial Moment Two. Expected squared Linear Loss in access of of some fixed threshold.
Syntax
pm2_pen(w,matrix) |
short call |
pm2_pen_name(w,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.
 | is a threshold value. |
Mathematical Definition
Partial Moment Two function is calculated as follows
,
where:
is Loss Function (See section Loss and Gain Functions),
is an argument of function.
Example
Case Studies with Partial Moment Two
See also
Partial Moment Group, Partial Moment Two for Gain.