Ratio Risk Measure

PortfolioOptimisers.RiskRatioRiskMeasure Type

struct RiskRatioRiskMeasure{__T_r1, __T_r2} <: HierarchicalRiskMeasure

Represents a risk ratio risk measure for hierarchical portfolio optimisation.

RiskRatioRiskMeasure computes the ratio of two risk measures, enabling the construction of risk-adjusted performance metrics for use in hierarchical optimisation routines.

Mathematical Definition

$$\mathrm{RiskRatio}(\mathit{x})=\frac{r_1(\mathit{x})}{r_2(\mathit{x})},$$

where $r_1$ and $r_2$ are any two optimisation risk measures.

Fields

• r1: Numerator risk measure.

• r2: Denominator risk measure.

Constructors

RiskRatioRiskMeasure(;
    r1::OptimisationRiskMeasure = Variance(),
    r2::OptimisationRiskMeasure = ConditionalValueatRisk()
) -> RiskRatioRiskMeasure

Keywords correspond to the struct's fields.

Examples

julia> RiskRatioRiskMeasure()
RiskRatioRiskMeasure
  r1 ┼ Variance
     │   settings ┼ RiskMeasureSettings
     │            │   scale ┼ Float64: 1.0
     │            │      ub ┼ nothing
     │            │     rke ┴ Bool: true
     │      sigma ┼ nothing
     │       chol ┼ nothing
     │         rc ┼ nothing
     │        alg ┴ SquaredSOCRiskExpr()
  r2 ┼ ConditionalValueatRisk
     │   settings ┼ RiskMeasureSettings
     │            │   scale ┼ Float64: 1.0
     │            │      ub ┼ nothing
     │            │     rke ┴ Bool: true
     │      alpha ┼ Float64: 0.05
     │          w ┴ nothing

Related

• HierarchicalRiskMeasure

• OptimisationRiskMeasure

• NonOptimisationRiskRatioRiskMeasure

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PortfolioOptimisers.NonOptimisationRiskRatioRiskMeasure Type

struct NonOptimisationRiskRatioRiskMeasure{__T_r1, __T_r2} <: NonOptimisationRiskMeasure

Represents a non-optimisation risk ratio measure.

NonOptimisationRiskRatioRiskMeasure computes the ratio of two risk measures for analysis or reporting purposes. Unlike RiskRatioRiskMeasure, it is not intended for use as an objective or constraint in optimisation routines.

Mathematical Definition

$$\mathrm{RiskRatio}(\mathit{x})=\frac{r_1(\mathit{x})}{r_2(\mathit{x})},$$

where $r_1$ and $r_2$ are any two base risk measures.

Fields

• r1: Numerator risk measure.

• r2: Denominator risk measure.

Constructors

NonOptimisationRiskRatioRiskMeasure(;
    r1::AbstractBaseRiskMeasure = Variance(),
    r2::AbstractBaseRiskMeasure = ConditionalValueatRisk()
) -> NonOptimisationRiskRatioRiskMeasure

Keywords correspond to the struct's fields.

Related

• NonOptimisationRiskMeasure

• AbstractBaseRiskMeasure

• RiskRatioRiskMeasure

source