PortfolioOptimisers.jl

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Maximum Drawdown Constraints ​

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

Add maximum drawdown risk constraints to model.

Introduces a scalar variable mdd_risk and the constraint sc * (mdd_risk .- dd[2:T+1]) >= 0 so that mdd_risk upper-bounds every drawdown observation. Returns the existing expression if already present.

Arguments

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

  • r::MaximumDrawdown: Maximum 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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