PortfolioOptimisers.jl

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Power-Norm XatRisk Constraints ​

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

Add Power-Norm Value-at-Risk, PNVaR range, or Power-Norm Drawdown-at-Risk constraints to model.

Each overload uses power cone constraints (PowerCone) parameterised by r.p (or r.pa, r.pb for the range variant) to encode the power-norm VaR. Auxiliary non-negative variables pvar_w and pvar_v encode per-observation exceedances, and a scalar pvar_t aggregates the total. The range variant introduces separate lower and upper tail variables. The drawdown variant operates on the drawdown path.

Arguments

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

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

  • r: Risk measure instance.

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

Add JuMP risk constraints for PowerNormValueatRiskRange to model.

Introduces variables and power-cone constraints to encode the range between a lower and upper power-norm value-at-risk, parameterised by r.pa and r.pb.

Arguments

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

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

  • r::PowerNormValueatRiskRange: The power-norm VaR range risk measure.

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

  • pr: Prior result.

Returns

  • nothing.

Related

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

Add JuMP risk constraints for PowerNormDrawdownatRisk to model.

Introduces variables and power-cone constraints to encode the power-norm drawdown-at-risk, computed over the drawdown path of portfolio returns.

Arguments

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

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

  • r::PowerNormDrawdownatRisk: The power-norm drawdown-at-risk risk measure.

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

  • pr: Prior result.

Returns

  • nothing.

Related

source