PortfolioOptimisers.jl

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Relativistic XatRisk Constraints ​

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

Add Relativistic Value-at-Risk, RLVaR range, or Relativistic Drawdown-at-Risk constraints to model.

Each overload uses power cone constraints (PowerCone) to encode the Tsallis entropy-based risk measure parameterised by kappa. Auxiliary variables t, z, omega, psi, theta, and epsilon are introduced. The range variant encodes both a lower-tail and upper-tail relativistic expression.

Arguments

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

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

  • r: Risk measure instance with fields alpha and kappa.

  • 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::RelativisticValueatRiskRange,
    opt::RiskJuMPOptimisationEstimator,
    pr::AbstractPriorResult,
    args...;
    kwargs...
) -> Any

Add JuMP risk constraints for RelativisticValueatRiskRange (RLVaR range) to model.

Uses power cone constraints for both lower-tail and upper-tail Tsallis entropy-based risk measures parameterised by kappa, then 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::RelativisticValueatRiskRange: The RLVaR 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::RelativisticDrawdownatRisk,
    opt::RiskJuMPOptimisationEstimator,
    pr::AbstractPriorResult,
    args...;
    kwargs...
) -> Any

Add JuMP risk constraints for RelativisticDrawdownatRisk (RLDaR) to model.

Uses power cone constraints applied to the drawdown series to encode the relativistic drawdown-at-risk parameterised by kappa at confidence level r.alpha.

Arguments

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

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

  • r::RelativisticDrawdownatRisk: The RLDaR risk measure.

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

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

Returns

  • nothing.

Related

source