Range

PortfolioOptimisers.Range Type

struct Range{__T_settings} <: RiskMeasure

Represents the Range risk measure.

Range computes the difference between the maximum and minimum portfolio returns, measuring the full spread of the return distribution. It is a simple measure of the total variability across all scenarios.

Mathematical Definition

$$\mathrm{Range}(\mathit{x})=\underset{1\le t\le T}{max}{x}_t-\underset{1\le t\le T}{min}{x}_t.$$

Fields

• settings: Risk measure configuration.

Constructors

Range(;
    settings::RiskMeasureSettings = RiskMeasureSettings()
) -> Range

Keywords correspond to the struct's fields.

Functor

(r::Range)(x::VecNum)

Computes the Range of a portfolio returns vector x.

Arguments

• x::VecNum: Portfolio returns vector.

Examples

julia> Range()
Range
  settings ┼ RiskMeasureSettings
           │   scale ┼ Float64: 1.0
           │      ub ┼ nothing
           │     rke ┴ Bool: true

Related

• RiskMeasure

• RiskMeasureSettings

• WorstRealisation

• ValueatRiskRange

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