JuMP Optimiser

PortfolioOptimisers.ProcessedJuMPOptimiserAttributes Type

struct ProcessedJuMPOptimiserAttributes{__T_pr, __T_wb, __T_lt, __T_st, __T_lcsr, __T_ctr, __T_gcardr, __T_sgcardr, __T_smtx, __T_sgmtx, __T_slt, __T_sst, __T_sglt, __T_sgst, __T_tn, __T_fees, __T_plr, __T_ret} <: AbstractResult

Intermediate result type storing processed optimisation attributes for JuMPOptimiser.

Used internally to pass processed constraints, bounds, and other data between optimisation stages.

Related

• JuMPOptimiser

• MeanRisk

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PortfolioOptimisers.JuMPOptimiser Type

struct JuMPOptimiser{__T_pe, __T_slv, __T_wb, __T_bgt, __T_sbgt, __T_lt, __T_st, __T_lcse, __T_cte, __T_gcarde, __T_sgcarde, __T_smtx, __T_sgmtx, __T_slt, __T_sst, __T_sglt, __T_sgst, __T_tn, __T_fees, __T_sets, __T_tr, __T_ple, __T_ret, __T_sca, __T_ccnt, __T_cobj, __T_sc, __T_so, __T_ss, __T_card, __T_scard, __T_nea, __T_l1, __T_l2, __T_linf, __T_lp, __T_brt, __T_cle_pr, __T_strict} <: BaseJuMPOptimisationEstimator

Main JuMP-based portfolio optimiser configuration.

JuMPOptimiser collects all the inputs needed to formulate and solve a JuMP-based portfolio optimisation problem: prior estimator, solver, constraints, bounds, fees, tracking, regularisation, and more. It is intended to be passed to a higher-level optimiser such as MeanRisk or RiskBudgeting.

Fields

• pe: Prior estimator or prior result.

• slv: Solver or vector of solvers.

• wb: Weight bounds estimator or bounds.

• bgt: Budget constraint (total weight sum). If a Number: the portfolio weights must sum to this value. If a BudgetCostEstimator: the budget is computed from asset-level data. Cannot be used together with sbgt.

• sbgt: Short-sale budget constraint range. If provided, bgt must not be a BudgetCostEstimator.

• lt: Long threshold estimator or threshold.

• st: Short threshold estimator or threshold.

• lcse: Linear constraint estimator or constraint(s).

• cte: Centring constraint estimator or constraint(s).

• gcarde: Grouped cardinality constraint estimator.

• sgcarde: Sub-grouped cardinality constraint estimator(s).

• smtx: Sub-group constraint matrix or estimator.

• sgmtx: Sub-grouped constraint matrix or estimator.

• slt: Sub-group long threshold.

• sst: Sub-group short threshold.

• sglt: Sub-grouped long threshold.

• sgst: Sub-grouped short threshold.

• tn: Turnover constraint estimator or constraints.

• fees: Fee estimator or fee structure.

• sets: Asset sets (required when any estimator-typed constraint is provided).

• tr: Tracking error constraint(s).

• ple: Placeholder constraints.

• ret: Returns estimator for JuMP models.

• sca: Scalariser for combining multiple risk measures.

• ccnt: Custom JuMP constraint.

• cobj: Custom JuMP objective.

• sc: Constraint scale factor.

• so: Objective scale factor.

• ss: Optional scalar shrinkage parameter.

• card: Global cardinality constraint (maximum number of non-zero weights).

• scard: Sub-group cardinality constraint(s).

• nea: Minimum number of effective assets.

• l1: L1 regularisation coefficient.

• l2: L2 regularisation coefficient.

• linf: L∞ regularisation coefficient.

• lp: Lp regularisation specification(s).

• brt: If true, uses bootstrap returns.

• cle_pr: If true, passes the prior result to the clustering estimator.

• strict: If true, strictly enforces weight bounds.

Constructors

JuMPOptimiser(;
    pe::PrE_Pr = EmpiricalPrior(),
    slv::Slv_VecSlv,
    wb::Option{<:WbE_Wb} = WeightBounds(),
    bgt::Option{<:Num_BgtCE} = 1.0,
    sbgt::Option{<:Num_BgtRg} = nothing,
    lt::Option{<:BtE_Bt} = nothing,
    st::Option{<:BtE_Bt} = nothing,
    lcse::Option{<:LcE_Lc_VecLcE_Lc} = nothing,
    cte::Option{<:Lc_CC_VecCC} = nothing,
    gcarde::Option{<:LcE_Lc} = nothing,
    sgcarde::Option{<:LcE_Lc_VecLcE_Lc} = nothing,
    smtx::Option{<:MatNum_ASetMatE_VecMatNum_ASetMatE} = nothing,
    sgmtx::Option{<:MatNum_ASetMatE_VecMatNum_ASetMatE} = nothing,
    slt::Option{<:BtE_Bt_VecOptBtE_Bt} = nothing,
    sst::Option{<:BtE_Bt_VecOptBtE_Bt} = nothing,
    sglt::Option{<:BtE_Bt_VecOptBtE_Bt} = nothing,
    sgst::Option{<:BtE_Bt_VecOptBtE_Bt} = nothing,
    tn::Option{<:TnE_Tn_VecTnE_Tn} = nothing,
    fees::Option{<:FeesE_Fees} = nothing,
    sets::Option{<:AssetSets} = nothing,
    tr::Option{<:Tr_VecTr} = nothing,
    ple::Option{<:PlCE_PhC_VecPlCE_PlC} = nothing,
    ret::JuMPReturnsEstimator = ArithmeticReturn(),
    sca::NonHierarchicalScalariser = SumScalariser(),
    ccnt::Option{<:CustomJuMPConstraint} = nothing,
    cobj::Option{<:CustomJuMPObjective} = nothing,
    sc::Number = 1,
    so::Number = 1,
    ss::Option{<:Number} = nothing,
    card::Option{<:Integer} = nothing,
    scard::Option{<:Int_VecInt} = nothing,
    nea::Option{<:Number} = nothing,
    l1::Option{<:Number} = nothing,
    l2::Option{<:Number} = nothing,
    linf::Option{<:Number} = nothing,
    lp::Option{LpReg_VecLpReg} = nothing,
    brt::Bool = false,
    cle_pr::Bool = true,
    strict::Bool = false
) -> JuMPOptimiser

Keywords correspond to the struct's fields.

Related

• BaseJuMPOptimisationEstimator

• MeanRisk

• RiskBudgeting

• RelaxedRiskBudgeting

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PortfolioOptimisers.opt_view Method

opt_view(opt, i, args...)

Return a view or subset of an optimisation estimator for a given cluster index i.

Default fallback returns the estimator unchanged. Overridden for composite estimators (e.g. JuMPOptimiser, HierarchicalRiskParity) to slice all sub-estimators for the i-th cluster.

Arguments

• opt: Optimisation estimator or result.

• i: Cluster or asset index.

• args...: Additional arguments (e.g. asset returns matrix).

Returns

• Sliced or unchanged optimisation estimator.

Related

• JuMPOptimiser

• NestedClustered

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