Worst Realisation Constraints

PortfolioOptimisers.set_wr_risk_expression! Function

set_wr_risk_expression!(
    model::Model,
    X::AbstractMatrix{<:Union{var"#s19", var"#s18"} where {var"#s19"<:Number, var"#s18"<:AbstractJuMPScalar}}
) -> Any

Introduce the worst-realisation risk variable and constraint to model.

Creates a scalar variable wr_risk and adds sc * (wr_risk .+ net_X) >= 0 so that wr_risk upper-bounds the negative of every portfolio return. Returns the existing variable if already present.

Arguments

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

• X::MatNum: Asset returns matrix (T × N).

Returns

• wr_risk: JuMP scalar variable for the worst-realisation risk.

Related

• set_risk_constraints!

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PortfolioOptimisers.set_risk_constraints! Method

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

Add worst-realisation risk constraints to model.

Delegates to set_wr_risk_expression! to create wr_risk, then calls set_risk_bounds_and_expression!. Returns the existing expression if already present.

Arguments

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

• r::WorstRealisation: Worst-realisation risk measure instance.

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

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

Returns

• nothing.

Related

• set_wr_risk_expression!

• set_risk_bounds_and_expression!

source