Adjust Risk Contributions

const SquaredRiskMeasures

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

const QuadExpressionRiskMeasures

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

const CubedRiskMeasures

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

const FourthPowerRiskMeasures

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

const DrawdownRiskMeasures

Union of all drawdown-based risk measures.

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 EqualRisk (+delta).

Arguments

• r: Risk measure instance.
• val::Number: Raw finite-difference gradient value.

Returns

• Number: Adjusted gradient value.

Related

• SquaredRiskMeasures
• CubedRiskMeasures
• FourthPowerRiskMeasures
• EqualRisk
• risk_contribution