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mjbommar/kappa.m

Created June 8, 2020 10:23
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kappa.m
% kappa risk measure in pure Matlab
% see also:
% * https://gist.github.com/mjbommar/320298
% * https://gist.github.com/mjbommar/320296
% D : return series vector
% r : return threshold
% n : Kappa order
function k = kappa(D, r, n)
k = (mean(D) - r) ./ nthroot(mean((D < r) .* (r-D).^n), n);
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