PortfolioOptimisers.jl

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Average Drawdown Constraints ​

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

Add average drawdown risk constraints to model.

Calls set_drawdown_constraints! to ensure drawdown variables exist, then creates an observation-weighted mean of the drawdown path as the risk expression.

Arguments

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

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

  • r::AverageDrawdown: Average drawdown risk measure instance.

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

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

Returns

  • nothing.

Related

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