import type { array, matrix } from "../types"; /** * Downside Risk. * * Downside risk is the semi-standard deviation of returns below a * Minimum Acceptable Return (MAR) * * @param x array of values * @param mar minimum acceptable return (def: 0) * @param dim dimension 0: row, 1: column (def: 0) * @return Downside Risk * * @example Downside risk with default MAR * ```ts * import { assertEquals } from "jsr:@std/assert"; * * const x = [0.003, 0.026, 0.015, -0.009, 0.014, 0.024, 0.015, 0.066, -0.014, 0.039]; * assertEquals(downsiderisk(x), 0.0035355339059327385); * * ``` * * @example Downside risk with custom MAR * ```ts * import { assertEquals } from "jsr:@std/assert"; * * assertEquals(downsiderisk([0.02, -0.01, 0.03, -0.02], 0.01), 0.007071067811865476); * * ``` * * @example Downside risk with higher MAR * ```ts * import { assertEquals } from "jsr:@std/assert"; * * assertEquals(downsiderisk([0.1, -0.2, 0.05, -0.1], 0), 0.07071067811865477); * ``` */ export default function downsiderisk(x: number, mar?: number, dim?: 0 | 1): number; /** * Downside Risk. * * Downside risk is the semi-standard deviation of returns below a * Minimum Acceptable Return (MAR) * * @param x array of values * @param mar minimum acceptable return (def: 0) * @param dim dimension 0: row, 1: column (def: 0) * @return Downside Risk * * @example Downside risk with default MAR * ```ts * import { assertEquals } from "jsr:@std/assert"; * * const x = [0.003, 0.026, 0.015, -0.009, 0.014, 0.024, 0.015, 0.066, -0.014, 0.039]; * assertEquals(downsiderisk(x), 0.0035355339059327385); * * ``` * * @example Downside risk with custom MAR * ```ts * import { assertEquals } from "jsr:@std/assert"; * * assertEquals(downsiderisk([0.02, -0.01, 0.03, -0.02], 0.01), 0.007071067811865476); * * ``` * * @example Downside risk with higher MAR * ```ts * import { assertEquals } from "jsr:@std/assert"; * * assertEquals(downsiderisk([0.1, -0.2, 0.05, -0.1], 0), 0.07071067811865477); * ``` */ export default function downsiderisk(x: array, mar?: number, dim?: 0 | 1): number; /** * Downside Risk. * * Downside risk is the semi-standard deviation of returns below a * Minimum Acceptable Return (MAR) * * @param x array of values * @param mar minimum acceptable return (def: 0) * @param dim dimension 0: row, 1: column (def: 0) * @return Downside Risk * * @example Downside risk with default MAR * ```ts * import { assertEquals } from "jsr:@std/assert"; * * const x = [0.003, 0.026, 0.015, -0.009, 0.014, 0.024, 0.015, 0.066, -0.014, 0.039]; * assertEquals(downsiderisk(x), 0.0035355339059327385); * * ``` * * @example Downside risk with custom MAR * ```ts * import { assertEquals } from "jsr:@std/assert"; * * assertEquals(downsiderisk([0.02, -0.01, 0.03, -0.02], 0.01), 0.007071067811865476); * * ``` * * @example Downside risk with higher MAR * ```ts * import { assertEquals } from "jsr:@std/assert"; * * assertEquals(downsiderisk([0.1, -0.2, 0.05, -0.1], 0), 0.07071067811865477); * ``` */ export default function downsiderisk(x: matrix, mar?: number, dim?: 0 | 1): array | matrix; //# sourceMappingURL=downsiderisk.d.ts.map