The CDD implementation is not correct

[shrektan]

Hi,

I think the current CDD implementation is not correct, at least is not that defined in PORTFOLIO OPTIMIZATION WITH DRAWDOWN CONSTRAINTS, because CDD (or CDaR) is the average of drawdown above a threshold, while current version is just a quantile from drawdown (and the drawdown is not exactly what's defined in the paper).

The version in the sandbox is more correctly, though not exactly. https://github.com/braverock/PerformanceAnalytics/blob/78f8c6cb39863ea295169bd3ac246a30b0c341fc/sandbox/CDaR.R