Equal Risk Measure

PortfolioOptimisers.EqualRisk Type

struct EqualRisk{__T_settings} <: HierarchicalRiskMeasure

Represents the Equal Risk Measure for hierarchical portfolio optimisation.

EqualRisk assigns an equal risk contribution to each asset by returning the reciprocal of the number of assets. It is used in equal-risk-contribution (ERC) strategies.

Mathematical definition

For a portfolio of $N$ assets with weights $\mathit{w}\in {\mathbb{R}}^N$:

$$\begin{array}{rl}\mathrm{ERC}(\mathit{w})& =\frac{1}{N}.\end{array}$$

Where:

• $\mathrm{ERC}(\mathit{w})$: Equal risk contribution per asset.

• $\mathit{w}$: Portfolio weights vector $N\times 1$.

• $N$: Number of assets.

Fields

• settings: Risk measure settings.

Constructors

EqualRisk(;
    settings::HierarchicalRiskMeasureSettings = HierarchicalRiskMeasureSettings()
) -> EqualRisk

Keywords correspond to the struct's fields.

Functor

(r::EqualRisk)(w::VecNum)

Returns the equal risk contribution for a weight vector w.

Arguments

• w::VecNum: Portfolio weights vector.

Examples

julia> EqualRisk()
EqualRisk
  settings ┼ HierarchicalRiskMeasureSettings
           │   scale ┴ Float64: 1.0

Related

• number_effective_assets

• set_weight_norm_2_constraints!

• HierarchicalRiskMeasure

• HierarchicalRiskMeasureSettings

• RiskRatio

source