Risk Measure Tools
PortfolioOptimisers.no_bounds_risk_measure Function
no_bounds_risk_measure(r, flag = nothing)Return a copy of risk measure r with its upper-bound constraint removed while preserving all other settings. Hierarchical risk measures are returned unchanged. For vectors of risk measures, applies element-wise.
Arguments
r: Risk measure or vector of risk measures.flag: Ignored; kept for dispatch compatibility.
Returns
- Risk measure without upper bounds.
Related
sourcePortfolioOptimisers.no_bounds_no_risk_expr_risk_measure Function
no_bounds_no_risk_expr_risk_measure(r, flag = nothing)Return a copy of risk measure r with both its upper-bound constraint and its risk expression flag disabled. Hierarchical risk measures are returned unchanged. For vectors of risk measures, applies element-wise.
Arguments
r: Risk measure or vector of risk measures.flag: Ignored; kept for dispatch compatibility.
Returns
- Risk measure without bounds or risk expression.
Related
sourcePortfolioOptimisers.no_risk_expr_risk_measure Function
no_risk_expr_risk_measure(r)Return a copy of risk measure r with its risk expression flag disabled while preserving its upper-bound constraint. Hierarchical risk measures are returned unchanged. For vectors of risk measures, applies element-wise.
Arguments
r: Risk measure or vector of risk measures.
Returns
- Risk measure without risk expression flag.
Related
sourcePortfolioOptimisers.bounds_risk_measure Function
bounds_risk_measure(r, ubs)Return a copy of risk measure r (or each element of vector r) with its upper-bound set to ubs (or the corresponding element of ubs). Hierarchical risk measures are returned unchanged.
Arguments
r: Risk measure or vector of risk measures.ubs: Upper-bound value or vector of upper-bound values.
Returns
- Risk measure or vector of risk measures with updated upper bounds.
Related
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