Ratio Risk Measure

PortfolioOptimisers.RiskRatioRiskMeasure Type

julia

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

\begin{aligned} RiskRatio (x) & = \frac{r_{1} (x)}{r_{2} (x)} . \end{aligned}

Where:

$RiskRatio (x)$ : Risk ratio of the portfolio.
$x$ : Portfolio returns vector $T \times 1$ .
$r_{1}$ : First (numerator) optimisation risk measure.
$r_{2}$ : Second (denominator) optimisation risk measure.

Fields

r1: First risk measure.
r2: Second risk measure.

Constructors

julia

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

Keywords correspond to the struct's fields.

Examples

julia

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

source

PortfolioOptimisers.factory Method

julia

factory(
    r::RiskRatioRiskMeasure,
    args...;
    kwargs...
) -> RiskRatioRiskMeasure{<:OptimisationRiskMeasure, <:OptimisationRiskMeasure}

Create an instance of RiskRatioRiskMeasure by updating both constituent risk measures from the optimisation context.

Forwards all arguments to factory on r1 and r2.

Related

source

PortfolioOptimisers.factory Method

julia

factory(
    r::RiskRatioRiskMeasure,
    w::AbstractVector{<:Union{var"#s20", var"#s19"} where {var"#s20"<:Number, var"#s19"<:AbstractJuMPScalar}}
) -> RiskRatioRiskMeasure{<:OptimisationRiskMeasure, <:OptimisationRiskMeasure}

Create an instance of RiskRatioRiskMeasure updating both constituent risk measures from new portfolio weights w.

Related

source

PortfolioOptimisers.NonOptimisationRiskRatioRiskMeasure Type

julia

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

\begin{aligned} RiskRatio (x) & = \frac{r_{1} (x)}{r_{2} (x)} . \end{aligned}

Where:

$RiskRatio (x)$ : Risk ratio of the portfolio.
$x$ : Portfolio returns vector $T \times 1$ .
$r_{1}$ : First (numerator) base risk measure.
$r_{2}$ : Second (denominator) base risk measure.

Fields

r1: First risk measure.
r2: Second risk measure.

Constructors

julia

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

Keywords correspond to the struct's fields.

Related

source

PortfolioOptimisers.factory Method

julia

factory(
    r::NonOptimisationRiskRatioRiskMeasure,
    args...;
    kwargs...
) -> NonOptimisationRiskRatioRiskMeasure{<:AbstractBaseRiskMeasure, <:AbstractBaseRiskMeasure}

Create an instance of NonOptimisationRiskRatioRiskMeasure by updating both constituent risk measures from the optimisation context.

Forwards all arguments to factory on r1 and r2.

Related

source

Ratio Risk Measure ​

Ratio Risk Measure