Term Glossary

Metrics, Models & Concepts

Expected Downside Return


Expected downside rate of return represents the mean of a probabilty distribution below a certain threshold: \begin{equation} E_{t-1}(r_{t}|r_{t}\leq{R}) \end{equation}

\(r\)
asset return
\(R\)
threshold return


Function Reference
portfolio_expectedDownsideReturn, position_expectedDownsideReturn