[Returnanalytics-commits] r2693 - pkg/PerformanceAnalytics/sandbox/pulkit/week6

[noreply at r-forge.r-project.org]

Author: pulkit
Date: 2013-08-02 01:08:53 +0200 (Fri, 02 Aug 2013)
New Revision: 2693

Added:
   pkg/PerformanceAnalytics/sandbox/pulkit/week6/CDaRMultipath.R
Log:
CDaR Multipath

Added: pkg/PerformanceAnalytics/sandbox/pulkit/week6/CDaRMultipath.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/pulkit/week6/CDaRMultipath.R	                        (rev 0)
+++ pkg/PerformanceAnalytics/sandbox/pulkit/week6/CDaRMultipath.R	2013-08-01 23:08:53 UTC (rev 2693)
@@ -0,0 +1,36 @@
+#'@title
+#'Conditional Drawdown at Risk for Multiple Sample Path
+#'
+#'@desctipion
+#'
+#' For a given \eqn{\alpha \epsilon [0,1]} in the multiple sample-paths setting,CDaR, 
+#' denoted by \eqn{D_{\alpha}(w)}, is the average of \eqn{(1-\alpha).100\%} drawdowns 
+#' of the set {d_st|t=1,....T,s = 1,....S}, and is defined by 
+#'
+#' \deqn{D_\alpha(w) = \max_{{q_st}{\epsilon}Q}{\sum_{s=1}^S}{\sum_{t=1}^T}{p_s}{q_st}{d_st}},
+#' 
+#' where 
+#' 
+#' \deqn{Q = \left\{ \left\{ q_st\right\}_{s,t=1}^{S,T} | \sum_{s = 1}^S \sum_{t = 1}^T{p_s}{q_st} = 1, 0{\leq}q_st{\leq}\frac{1}{(1-\alpha)T}, s = 1....S, t = 1.....T \right\}}
+#' 
+#' For \eqn{\alpha = 1} , \eqn{D_\alpha(w)} is defined by (3) with the constraint \eqn{0{\leq}q_st{\leq}\frac{1}{(1-\alpha)T}}, 
+#' in Q replaced by \eqn{q_st{\geq}0}
+#' 
+#'  As in the case of a single sample-path, the CDaR definition includes two special cases : (i) for \eqn{\alpha = 1}, 
+#'  \eqn{D_1(w)} is the maximum drawdown, also called drawdown from peak-to-valley, and (ii) for \eqn{\alpha} = 0, \eqn{D_\alpha(w)} 
+#'  is the average drawdown
+#'  
+#'@param R an xts, vector, matrix,data frame, timeSeries or zoo object of multiple sample path returns
+#'@param ps the probability for each sample path 
+#'@param p confidence level for calculation ,default(p=0.95)
+#'@param \dots any other passthru parameters
+#'
+#'@references
+#'Zabarankin, M., Pavlikov, K., and S. Uryasev. Capital Asset Pricing Model (CAPM) with Drawdown Measure. 
+#'Research Report 2012-9, ISE Dept., University of Florida, September 2012 
+  
+
+
+CdarMultiPath<-function(){
+  
+}
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