Aliases
These are convenience aliases/functions.
Risk measure aliases
Covariance-based
Moment family
PortfolioOptimisers.FLM Function
FLM(; settings::RiskMeasureSettings = RiskMeasureSettings(),
w::Option{<:ObsWeights} = nothing,
mu::Option{<:Num_VecNum_VecScalar} = nothing) -> LowOrderMomentAlias for the first Lower Moment (FLM) risk measure LowOrderMoment + FirstLowerMoment.
PortfolioOptimisers.MAD Function
MAD(; settings::RiskMeasureSettings = RiskMeasureSettings(),
w::Option{<:ObsWeights} = nothing,
mu::Option{<:Num_VecNum_VecScalar} = nothing) -> LowOrderMomentAlias for the Mean Absolute Deviation (MAD) risk measure LowOrderMoment + MeanAbsoluteDeviation.
PortfolioOptimisers.SCM Function
SCM(; settings::RiskMeasureSettings = RiskMeasureSettings(),
w::Option{<:ObsWeights} = nothing,
mu::Option{<:Num_VecNum_VecScalar} = nothing,
ve::AbstractVarianceEstimator = SimpleVariance(; me = nothing),
alg::SecondMomentFormulation = SquaredSOCRiskExpr()) -> LowOrderMomentAlias for the Second Central Moment (SCM) risk measure LowOrderMoment + SecondMoment + FullMoment. This can represent the scenario based variance or standard deviation.
PortfolioOptimisers.SLM Function
SLM(; settings::RiskMeasureSettings = RiskMeasureSettings(),
w::Option{<:ObsWeights} = nothing,
mu::Option{<:Num_VecNum_VecScalar} = nothing,
ve::AbstractVarianceEstimator = SimpleVariance(; me = nothing),
alg::SecondMomentFormulation = SquaredSOCRiskExpr()) -> LowOrderMomentAlias for the Second Lower Moment (SLM) risk measure LowOrderMoment + SecondMoment + SemiMoment. This can represent the scenario based semi-variance or semi-standard deviation.
PortfolioOptimisers.ECM Function
ECM(; settings::RiskMeasureSettings = RiskMeasureSettings(),
w::Option{<:ObsWeights} = nothing,
mu::Option{<:Num_VecNum_VecScalar} = nothing, p::Integer = 2,
ddof::Integer = 0) -> LowOrderMomentAlias for the square root of the central even moment of order 2p LowOrderMoment + EvenMoment + FullMoment.
PortfolioOptimisers.ELM Function
ELM(; settings::RiskMeasureSettings = RiskMeasureSettings(),
w::Option{<:ObsWeights} = nothing,
mu::Option{<:Num_VecNum_VecScalar} = nothing, p::Integer = 2,
ddof::Integer = 0) -> LowOrderMomentAlias for the square root of the lower even moment of order 2p LowOrderMoment + EvenMoment + SemiMoment.
PortfolioOptimisers.TLM Function
TLM(; settings::RiskMeasureSettings = RiskMeasureSettings(),
w::Option{<:ObsWeights} = nothing,
mu::Option{<:Num_VecNum_VecScalar} = nothing) -> HighOrderMomentAlias for the Third Lower Moment (TLM) risk measure HighOrderMoment + ThirdLowerMoment.
PortfolioOptimisers.SSK Function
SSK(; settings::RiskMeasureSettings = RiskMeasureSettings(),
w::Option{<:ObsWeights} = nothing,
mu::Option{<:Num_VecNum_VecScalar} = nothing,
ve::AbstractVarianceEstimator = SimpleVariance(; me = nothing)) -> HighOrderMomentAlias for the Standardised Third Lower Moment (SSK) risk measure HighOrderMoment + StandardisedHighOrderMoment + ThirdLowerMoment. This represents the scenario based semi-skewness of the return distribution.
PortfolioOptimisers.FTCM Function
FTCM(; settings::RiskMeasureSettings = RiskMeasureSettings(),
w::Option{<:ObsWeights} = nothing,
mu::Option{<:Num_VecNum_VecScalar} = nothing) -> HighOrderMomentAlias for the Fourth Central Moment (FTCM) risk measure HighOrderMoment + FourthMoment + FullMoment.
PortfolioOptimisers.FTLM Function
FTLM(; settings::RiskMeasureSettings = RiskMeasureSettings(),
w::Option{<:ObsWeights} = nothing,
mu::Option{<:Num_VecNum_VecScalar} = nothing) -> HighOrderMomentAlias for the Fourth Lower Moment (FTLM) risk measure HighOrderMoment + FourthMoment + SemiMoment.
PortfolioOptimisers.KT Function
KT(; settings::RiskMeasureSettings = RiskMeasureSettings(),
w::Option{<:ObsWeights} = nothing,
mu::Option{<:Num_VecNum_VecScalar} = nothing,
ve::AbstractVarianceEstimator = SimpleVariance(; me = nothing)) -> HighOrderMomentAlias for the Standardised Fourth Central Moment (KT) risk measure HighOrderMoment + StandardisedHighOrderMoment + FourthMoment + FullMoment. This represents the scenario based kurtosis of the return distribution.
PortfolioOptimisers.SKT Function
SKT(; settings::RiskMeasureSettings = RiskMeasureSettings(),
w::Option{<:ObsWeights} = nothing,
mu::Option{<:Num_VecNum_VecScalar} = nothing,
ve::AbstractVarianceEstimator = SimpleVariance(; me = nothing)) -> HighOrderMomentAlias for the Standardised Fourth Lower Moment (SKT) risk measure HighOrderMoment + StandardisedHighOrderMoment + FourthMoment + SemiMoment. This represents the scenario based semi-kurtosis of the return distribution.
Value-at-Risk family
PortfolioOptimisers.DRCVaR Type
DRCVaRAlias for DistributionallyRobustConditionalValueatRisk.
Value-at-Risk Range family
PortfolioOptimisers.DRCVaR_RG Type
DRCVaR_RGAlias for DistributionallyRobustConditionalValueatRiskRange.
Drawdown-at-Risk family
PortfolioOptimisers.DRCDaR Type
DRCDaRAlias for DistributionallyRobustConditionalDrawdownatRisk.
Drawdown family
Ordered Weights Array family
PortfolioOptimisers.OWA_GMD Function
OWA_GMD(; settings::RiskMeasureSettings = RiskMeasureSettings(),
alg::OrderedWeightsArrayFormulation = ApproxOrderedWeightsArray()) -> OrderedWeightsArrayAlias for the Gini Mean Difference (GMD) OrderedWeightsArray risk measure using owa_gmd weights.
PortfolioOptimisers.OWA_CVaR Function
OWA_CVaR(; settings::RiskMeasureSettings = RiskMeasureSettings(),
alpha::Number = 0.05,
alg::OrderedWeightsArrayFormulation = ApproxOrderedWeightsArray()) -> OrderedWeightsArrayAlias for the Conditional Value at Risk (CVaR) OrderedWeightsArray risk measure using OrderedWeightsArrayConditionalValueatRisk weights at significance level alpha.
PortfolioOptimisers.OWA_TG Function
OWA_TG(; settings::RiskMeasureSettings = RiskMeasureSettings(),
alpha_i::Number = 1e-4,
alpha::Number = 0.05,
a_sim::Integer = 100,
alg::OrderedWeightsArrayFormulation = ApproxOrderedWeightsArray()) -> OrderedWeightsArrayAlias for the Tail Gini (TG) OrderedWeightsArray risk measure using OrderedWeightsArrayTailGini weights.
PortfolioOptimisers.OWA_WR Function
OWA_WR(; settings::RiskMeasureSettings = RiskMeasureSettings(),
alg::OrderedWeightsArrayFormulation = ApproxOrderedWeightsArray()) -> OrderedWeightsArrayAlias for the Worst Realisation (WR) OrderedWeightsArray risk measure using owa_wr weights.
PortfolioOptimisers.OWA_RG Function
OWA_RG(; settings::RiskMeasureSettings = RiskMeasureSettings(),
alg::OrderedWeightsArrayFormulation = ApproxOrderedWeightsArray()) -> OrderedWeightsArrayAlias for the Range (RG) OrderedWeightsArray risk measure using owa_rg weights.
PortfolioOptimisers.OWA_CVaR_RG Function
OWA_CVaR_RG(; settings::RiskMeasureSettings = RiskMeasureSettings(),
alpha::Number = 0.05,
beta::Number = alpha,
alg::OrderedWeightsArrayFormulation = ApproxOrderedWeightsArray()) -> OrderedWeightsArrayAlias for the Conditional Value at Risk Range (CVaR RG) OrderedWeightsArray risk measure using OrderedWeightsArrayConditionalValueatRiskRange weights.
PortfolioOptimisers.OWA_TG_RG Function
OWA_TG_RG(; settings::RiskMeasureSettings = RiskMeasureSettings(),
alpha_i::Number = 1e-4,
alpha::Number = 0.05,
a_sim::Integer = 100,
beta_i::Number = alpha_i,
beta::Number = alpha,
b_sim::Integer = a_sim,
alg::OrderedWeightsArrayFormulation = ApproxOrderedWeightsArray()) -> OrderedWeightsArrayAlias for the Tail Gini Range (TG RG) OrderedWeightsArray risk measure using OrderedWeightsArrayTailGiniRange weights.
PortfolioOptimisers.OWA_LMoment Function
OWA_LMoment(; settings::RiskMeasureSettings = RiskMeasureSettings(),
method::AbstractOrderedWeightsArrayEstimator = NormalisedConstantRelativeRiskAversion(),
k::Integer = 2,
alg::OrderedWeightsArrayFormulation = ApproxOrderedWeightsArray()) -> OrderedWeightsArrayAlias for the L-Moment OrderedWeightsArray risk measure using LinearMoment weights of order k.
Nonlinear relationships
Tracking and turnover
Higher-order moments
Performance risk measures
Settings
Optimisers
Non-finite optimisers
Finite optimisers
Moments
Filters
PortfolioOptimisers.ZeroVarianceFilter Function
ZeroVarianceFilter(; tol::Number = 1e-12) -> ScoreSelectorAlias for the zero-variance asset selector ScoreSelector + SCM + ThresholdRule.
Keeps assets whose second central moment strictly exceeds tol, dropping constant and near-constant columns before they reach a prior or an optimiser. The bound is exclusive, so tol = 0 still drops an exactly-constant asset.
Spelled with SCM() rather than Variance: Variance is a WeightsInput risk measure whose functor consumes portfolio weights, so it cannot score a single asset's return series.
Related
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