Generic Value at Risk Range Constraints

PortfolioOptimisers.set_risk_constraints! Method

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

Add GenericValueatRiskRange constraints to model by delegating to the loss- and gain-side sub-constraints and summing the resulting expressions.

Calls set_risk_constraints! twice — once for r.loss with loss = true (applied to the net portfolio returns) and once for r.gain with loss = false (applied to the negated net portfolio returns). The two expressions are summed into the composite range expression, which is then registered with set_risk_bounds_and_expression!.

Arguments

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

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

• r::GenericValueatRiskRange: The generic Value-at-Risk range risk measure.

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

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

Returns

• genvar_range_risk: The combined loss + gain risk expression added to the model.

Related

• GenericValueatRiskRange

• set_risk_constraints!

• set_risk_bounds_and_expression!

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