PortfolioOptimisers.jl

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Entropic XatRisk Constraints ​

PortfolioOptimisers.set_risk_constraints! Method
julia
set_risk_constraints!(
    model::Model,
    i,
    r::EntropicValueatRisk,
    opt::RiskJuMPOptimisationEstimator,
    pr::AbstractPriorResult,
    args...;
    kwargs...
) -> Any

Add Entropic Value-at-Risk, EVaR range, or Entropic Drawdown-at-Risk constraints to model.

Each overload uses exponential cone constraints (ExponentialCone) to encode the cumulant generating function bound. Scalar variables t, z, and per-observation variables u are introduced. EVaR and EDaR encode the single-tail bound; the range variant encodes both a lower and upper exponential cone.

Arguments

  • model::JuMP.Model: The JuMP optimisation model.

  • i: Constraint index for unique variable and constraint naming.

  • r: Risk measure instance.

  • opt::RiskJuMPOptimisationEstimator: Risk-based optimisation estimator.

  • pr::AbstractPriorResult: Prior result containing the returns matrix X.

Returns

  • nothing.

Related

source
PortfolioOptimisers.set_risk_constraints! Method
julia
set_risk_constraints!(
    model::Model,
    i,
    r::EntropicValueatRiskRange,
    opt::RiskJuMPOptimisationEstimator,
    pr::AbstractPriorResult,
    args...;
    kwargs...
) -> Any

Add JuMP risk constraints for EntropicValueatRiskRange (EVaR range) to model.

Introduces two sets of exponential cone variables for the lower-tail and upper-tail EVaR expressions and computes their difference as the range risk.

Arguments

  • model::JuMP.Model: The JuMP optimisation model.

  • i: Constraint index for unique variable and constraint naming.

  • r::EntropicValueatRiskRange: The EVaR range risk measure.

  • opt::RiskJuMPOptimisationEstimator: Risk-based optimisation estimator.

  • pr::AbstractPriorResult: Prior result containing the returns matrix X.

Returns

  • nothing.

Related

source
PortfolioOptimisers.set_risk_constraints! Method
julia
set_risk_constraints!(
    model::Model,
    i,
    r::EntropicDrawdownatRisk,
    opt::RiskJuMPOptimisationEstimator,
    pr::AbstractPriorResult,
    args...;
    kwargs...
) -> Any

Add JuMP risk constraints for EntropicDrawdownatRisk (EDaR) to model.

Uses exponential cone constraints applied to the drawdown series to encode the entropic drawdown-at-risk at confidence level r.alpha.

Arguments

  • model::JuMP.Model: The JuMP optimisation model.

  • i: Constraint index for unique variable and constraint naming.

  • r::EntropicDrawdownatRisk: The EDaR risk measure.

  • opt::RiskJuMPOptimisationEstimator: Risk-based optimisation estimator.

  • pr::AbstractPriorResult: Prior result containing the returns matrix X.

Returns

  • nothing.

Related

source