Adjust Risk Contributions

PortfolioOptimisers.SquaredRiskMeasures Type

const SquaredRiskMeasures

Union of risk measures whose expected risk is a squared quantity. When computing risk contributions via finite differences the raw gradient value is halved to account for the square.

source

PortfolioOptimisers.QuadExpressionRiskMeasures Type

const QuadExpressionRiskMeasures

Union of risk measures that use quadratic JuMP expressions in their constraint formulations.

source

PortfolioOptimisers.CubedRiskMeasures Type

const CubedRiskMeasures

Union of risk measures whose expected risk is a cubed quantity. When computing risk contributions via finite differences the raw gradient value is divided by three.

source

PortfolioOptimisers.FourthPowerRiskMeasures Type

const FourthPowerRiskMeasures

Union of risk measures whose expected risk is a fourth-power quantity. When computing risk contributions via finite differences the raw gradient value is multiplied by 0.25.

source

PortfolioOptimisers.DrawdownRiskMeasures Type

const DrawdownRiskMeasures

Union of all drawdown-based risk measures.

source

PortfolioOptimisers.adjust_risk_contribution Function

adjust_risk_contribution(r, val::Number, args...)

Adjust the finite-difference gradient value val used in risk contribution computation to account for the mathematical structure of risk measure r.

Returns val unchanged for most risk measures. Specialisations scale the value appropriately for SquaredRiskMeasures (×0.5), CubedRiskMeasures (÷3), FourthPowerRiskMeasures (×0.25), and EqualRiskMeasure (+delta).

Arguments

• r: Risk measure instance.

• val::Number: Raw finite-difference gradient value.

Returns

• Number: Adjusted gradient value.

Related

• SquaredRiskMeasures

• CubedRiskMeasures

• FourthPowerRiskMeasures

• EqualRiskMeasure

• risk_contribution

source