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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_range_risk_constraints!, which reads the two tails from range_tails — here r.loss and r.gain as given — and builds each through set_risk_constraints!. This is the same path every other range measure takes.

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

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