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