Equal Risk Measure

PortfolioOptimisers.EqualRiskMeasure Type

struct EqualRiskMeasure{__T_settings} <: HierarchicalRiskMeasure

Represents the Equal Risk Measure for hierarchical portfolio optimisation.

EqualRiskMeasure 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

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

Keywords correspond to the struct's fields.

Functor

(r::EqualRiskMeasure)(w::VecNum)

Returns the equal risk contribution for a weight vector w.

Arguments

• w::VecNum: Portfolio weights vector.

Examples

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

Related

• number_effective_assets

• set_number_effective_assets!

• HierarchicalRiskMeasure

• HierarchicalRiskMeasureSettings

• RiskRatioRiskMeasure

source