PortfolioOptimisers.jl

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Range Constraints ​

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

Add range risk constraints to model.

Calls set_wr_risk_expression! to obtain the worst-realisation variable, then introduces a best-realisation variable br_risk with constraint sc * (br_risk .+ net_X) <= 0, and defines range_risk = wr_risk - br_risk. Returns the existing expression if already present.

Arguments

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

  • r::Range: Range 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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