Partial Moment Deviation (pm_dev)
Contents
Partial Moment Deviation. Expected access of ( (Loss ) - (Average Loss )) over some fixed threshold.
Syntax
pm_dev(w,matrix) |
short call |
pm_dev_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 Deviation function is calculated as follows
,
where:
is Partial Moment Penalty for Loss function,
,
is Loss Function (See section Loss and Gain Functions),
is an argument of function.
Example
See also
Partial Moment Group, Partial Moment Gain Deviation.