Risk Measure Tools
PortfolioOptimisers.no_bounds_risk_measure Function
julia
no_bounds_risk_measure(r, args...; kwargs...)Add a risk measure to a JuMP model without upper-bound constraints.
Generic function extended by concrete risk measure types.
Related
sourcePortfolioOptimisers.no_bounds_no_risk_expr_risk_measure Function
julia
no_bounds_no_risk_expr_risk_measure(r, args...; kwargs...)Add a risk measure to a JuMP model without upper-bound constraints and without adding a risk expression variable.
Generic function extended by concrete risk measure types.
Related
sourcePortfolioOptimisers.no_risk_expr_risk_measure Function
julia
no_risk_expr_risk_measure(r, args...; kwargs...)Return a copy of risk measure r with its risk-expression flag disabled while preserving its upper-bound constraint.
Generic function extended by concrete risk measure types. For hierarchical risk measures, returns r unchanged.
Related
sourcePortfolioOptimisers.bounds_risk_measure Function
julia
bounds_risk_measure(r, ub, args...; kwargs...)Return a copy of risk measure r with its upper-bound constraint set to ub.
Generic function extended by concrete risk measure types. For hierarchical risk measures, returns r unchanged.
Related
source