Aliases

These are convenience aliases/functions.

Risk measure aliases

Covariance-based

PortfolioOptimisers.SD — Type

SD

Alias for StandardDeviation.

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PortfolioOptimisers.UcVariance — Type

UcVariance

Alias for UncertaintySetVariance.

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Moment family

PortfolioOptimisers.FLM — Function

FLM(; settings::RiskMeasureSettings = RiskMeasureSettings(),
      w::Option{<:ObsWeights} = nothing,
      mu::Option{<:Num_VecNum_VecScalar} = nothing) -> LowOrderMoment

Alias for the first Lower Moment (FLM) risk measure LowOrderMoment + FirstLowerMoment.

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PortfolioOptimisers.MAD — Function

MAD(; settings::RiskMeasureSettings = RiskMeasureSettings(),
      w::Option{<:ObsWeights} = nothing,
      mu::Option{<:Num_VecNum_VecScalar} = nothing) -> LowOrderMoment

Alias for the Mean Absolute Deviation (MAD) risk measure LowOrderMoment + MeanAbsoluteDeviation.

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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()) -> LowOrderMoment

Alias for the Second Central Moment (SCM) risk measure LowOrderMoment + SecondMoment + FullMoment. This can represent the scenario based variance or standard deviation.

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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()) -> LowOrderMoment

Alias for the Second Lower Moment (SLM) risk measure LowOrderMoment + SecondMoment + SemiMoment. This can represent the scenario based semi-variance or semi-standard deviation.

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PortfolioOptimisers.ECM — Function

ECM(; settings::RiskMeasureSettings = RiskMeasureSettings(),
      w::Option{<:ObsWeights} = nothing,
      mu::Option{<:Num_VecNum_VecScalar} = nothing, p::Integer = 2,
      ddof::Integer = 0) -> LowOrderMoment

Alias for the square root of the central even moment of order 2p LowOrderMoment + EvenMoment + FullMoment.

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PortfolioOptimisers.ELM — Function

ELM(; settings::RiskMeasureSettings = RiskMeasureSettings(),
      w::Option{<:ObsWeights} = nothing,
      mu::Option{<:Num_VecNum_VecScalar} = nothing, p::Integer = 2,
      ddof::Integer = 0) -> LowOrderMoment

Alias for the square root of the lower even moment of order 2p LowOrderMoment + EvenMoment + SemiMoment.

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PortfolioOptimisers.TLM — Function

TLM(; settings::RiskMeasureSettings = RiskMeasureSettings(),
      w::Option{<:ObsWeights} = nothing,
      mu::Option{<:Num_VecNum_VecScalar} = nothing) -> HighOrderMoment

Alias for the Third Lower Moment (TLM) risk measure HighOrderMoment + ThirdLowerMoment.

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PortfolioOptimisers.SSK — Function

SSK(; settings::RiskMeasureSettings = RiskMeasureSettings(),
      w::Option{<:ObsWeights} = nothing,
      mu::Option{<:Num_VecNum_VecScalar} = nothing,
      ve::AbstractVarianceEstimator = SimpleVariance(; me = nothing)) -> HighOrderMoment

Alias for the Standardised Third Lower Moment (SSK) risk measure HighOrderMoment + StandardisedHighOrderMoment + ThirdLowerMoment. This represents the scenario based semi-skewness of the return distribution.

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PortfolioOptimisers.FTCM — Function

FTCM(; settings::RiskMeasureSettings = RiskMeasureSettings(),
      w::Option{<:ObsWeights} = nothing,
      mu::Option{<:Num_VecNum_VecScalar} = nothing) -> HighOrderMoment

Alias for the Fourth Central Moment (FTCM) risk measure HighOrderMoment + FourthMoment + FullMoment.

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PortfolioOptimisers.FTLM — Function

FTLM(; settings::RiskMeasureSettings = RiskMeasureSettings(),
      w::Option{<:ObsWeights} = nothing,
      mu::Option{<:Num_VecNum_VecScalar} = nothing) -> HighOrderMoment

Alias for the Fourth Lower Moment (FTLM) risk measure HighOrderMoment + FourthMoment + SemiMoment.

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PortfolioOptimisers.KT — Function

KT(; settings::RiskMeasureSettings = RiskMeasureSettings(),
     w::Option{<:ObsWeights} = nothing,
     mu::Option{<:Num_VecNum_VecScalar} = nothing,
     ve::AbstractVarianceEstimator = SimpleVariance(; me = nothing)) -> HighOrderMoment

Alias for the Standardised Fourth Central Moment (KT) risk measure HighOrderMoment + StandardisedHighOrderMoment + FourthMoment + FullMoment. This represents the scenario based kurtosis of the return distribution.

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PortfolioOptimisers.SKT — Function

SKT(; settings::RiskMeasureSettings = RiskMeasureSettings(),
      w::Option{<:ObsWeights} = nothing,
      mu::Option{<:Num_VecNum_VecScalar} = nothing,
      ve::AbstractVarianceEstimator = SimpleVariance(; me = nothing)) -> HighOrderMoment

Alias for the Standardised Fourth Lower Moment (SKT) risk measure HighOrderMoment + StandardisedHighOrderMoment + FourthMoment + SemiMoment. This represents the scenario based semi-kurtosis of the return distribution.

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Value-at-Risk family

PortfolioOptimisers.WR — Type

WR

Alias for WorstRealisation.

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PortfolioOptimisers.VaR — Type

VaR

Alias for ValueatRisk.

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PortfolioOptimisers.CVaR — Type

CVaR

Alias for ConditionalValueatRisk.

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PortfolioOptimisers.DRCVaR — Type

DRCVaR

Alias for DistributionallyRobustConditionalValueatRisk.

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PortfolioOptimisers.EVaR — Type

EVaR

Alias for EntropicValueatRisk.

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PortfolioOptimisers.RLVaR — Type

RLVaR

Alias for RelativisticValueatRisk.

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PortfolioOptimisers.PNVaR — Type

PNVaR

Alias for PowerNormValueatRisk.

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Value-at-Risk Range family

PortfolioOptimisers.RG — Type

RG

Alias for Range.

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PortfolioOptimisers.VaR_RG — Type

VaR_RG

Alias for ValueatRiskRange.

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PortfolioOptimisers.CVaR_RG — Type

CVaR_RG

Alias for ConditionalValueatRiskRange.

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PortfolioOptimisers.DRCVaR_RG — Type

DRCVaR_RG

Alias for DistributionallyRobustConditionalValueatRiskRange.

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PortfolioOptimisers.EVaR_RG — Type

EVaR_RG

Alias for EntropicValueatRiskRange.

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PortfolioOptimisers.RLVaR_RG — Type

RLVaR_RG

Alias for RelativisticValueatRiskRange.

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PortfolioOptimisers.PNVaR_RG — Type

PNVaR_RG

Alias for PowerNormValueatRiskRange.

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PortfolioOptimisers.GVaR_RG — Type

GVaR_RG

Alias for GenericValueatRiskRange.

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Drawdown-at-Risk family

PortfolioOptimisers.DaR — Type

DaR

Alias for DrawdownatRisk.

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PortfolioOptimisers.CDaR — Type

CDaR

Alias for ConditionalDrawdownatRisk.

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PortfolioOptimisers.DRCDaR — Type

DRCDaR

Alias for DistributionallyRobustConditionalDrawdownatRisk.

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PortfolioOptimisers.EDaR — Type

EDaR

Alias for EntropicDrawdownatRisk.

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PortfolioOptimisers.RLDaR — Type

RLDaR

Alias for RelativisticDrawdownatRisk.

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PortfolioOptimisers.PNDaR — Type

PNDaR

Alias for PowerNormDrawdownatRisk.

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PortfolioOptimisers.R_DaR — Type

R_DaR

Alias for RelativeDrawdownatRisk.

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PortfolioOptimisers.R_CDaR — Type

R_CDaR

Alias for RelativeConditionalDrawdownatRisk.

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PortfolioOptimisers.R_EDaR — Type

R_EDaR

Alias for RelativeEntropicDrawdownatRisk.

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PortfolioOptimisers.R_RLDaR — Type

R_RLDaR

Alias for RelativeRelativisticDrawdownatRisk.

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PortfolioOptimisers.R_PNDaR — Type

R_PNDaR

Alias for RelativePowerNormDrawdownatRisk.

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Drawdown family

PortfolioOptimisers.ADD — Type

ADD

Alias for AverageDrawdown.

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PortfolioOptimisers.R_ADD — Type

R_ADD

Alias for RelativeAverageDrawdown.

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PortfolioOptimisers.UCI — Type

UCI

Alias for UlcerIndex.

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PortfolioOptimisers.R_UCI — Type

R_UCI

Alias for RelativeUlcerIndex.

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PortfolioOptimisers.MDD — Type

MDD

Alias for MaximumDrawdown.

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PortfolioOptimisers.R_MDD — Type

R_MDD

Alias for RelativeMaximumDrawdown.

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Ordered Weights Array family

PortfolioOptimisers.OWA — Type

OWA

Alias for OrderedWeightsArray.

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PortfolioOptimisers.OWA_GMD — Function

OWA_GMD(; settings::RiskMeasureSettings = RiskMeasureSettings(),
          alg::OrderedWeightsArrayFormulation = ApproxOrderedWeightsArray()) -> OrderedWeightsArray

Alias for the Gini Mean Difference (GMD) OrderedWeightsArray risk measure using owa_gmd weights.

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PortfolioOptimisers.OWA_CVaR — Function

OWA_CVaR(; settings::RiskMeasureSettings = RiskMeasureSettings(),
           alpha::Number = 0.05,
           alg::OrderedWeightsArrayFormulation = ApproxOrderedWeightsArray()) -> OrderedWeightsArray

Alias for the Conditional Value at Risk (CVaR) OrderedWeightsArray risk measure using OrderedWeightsArrayConditionalValueatRisk weights at significance level alpha.

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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()) -> OrderedWeightsArray

Alias for the Tail Gini (TG) OrderedWeightsArray risk measure using OrderedWeightsArrayTailGini weights.

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PortfolioOptimisers.OWA_WR — Function

OWA_WR(; settings::RiskMeasureSettings = RiskMeasureSettings(),
         alg::OrderedWeightsArrayFormulation = ApproxOrderedWeightsArray()) -> OrderedWeightsArray

Alias for the Worst Realisation (WR) OrderedWeightsArray risk measure using owa_wr weights.

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PortfolioOptimisers.OWA_RG — Function

OWA_RG(; settings::RiskMeasureSettings = RiskMeasureSettings(),
         alg::OrderedWeightsArrayFormulation = ApproxOrderedWeightsArray()) -> OrderedWeightsArray

Alias for the Range (RG) OrderedWeightsArray risk measure using owa_rg weights.

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PortfolioOptimisers.OWA_CVaR_RG — Function

OWA_CVaR_RG(; settings::RiskMeasureSettings = RiskMeasureSettings(),
              alpha::Number = 0.05,
              beta::Number = alpha,
              alg::OrderedWeightsArrayFormulation = ApproxOrderedWeightsArray()) -> OrderedWeightsArray

Alias for the Conditional Value at Risk Range (CVaR RG) OrderedWeightsArray risk measure using OrderedWeightsArrayConditionalValueatRiskRange weights.

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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()) -> OrderedWeightsArray

Alias for the Tail Gini Range (TG RG) OrderedWeightsArray risk measure using OrderedWeightsArrayTailGiniRange weights.

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PortfolioOptimisers.OWA_LMoment — Function

OWA_LMoment(; settings::RiskMeasureSettings = RiskMeasureSettings(),
              method::AbstractOrderedWeightsArrayEstimator = NormalisedConstantRelativeRiskAversion(),
              k::Integer = 2,
              alg::OrderedWeightsArrayFormulation = ApproxOrderedWeightsArray()) -> OrderedWeightsArray

Alias for the L-Moment OrderedWeightsArray risk measure using LinearMoment weights of order k.

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Nonlinear relationships

PortfolioOptimisers.BDVariance — Type

BDVariance

Alias for BrownianDistanceVariance.

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Tracking and turnover

PortfolioOptimisers.TrRM — Type

TrRM

Alias for TrackingRiskMeasure.

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PortfolioOptimisers.RkTrRM — Type

RkTrRM

Alias for RiskTrackingRiskMeasure.

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PortfolioOptimisers.TnRM — Type

TnRM

Alias for TurnoverRiskMeasure.

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Higher-order moments

PortfolioOptimisers.VSK — Type

VSK

Alias for VarianceSkewKurtosis.

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Performance risk measures

PortfolioOptimisers.NonOptRkRatio — Type

NonOptRkRatio

Alias for NonOptimisationRiskRatio.

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Settings

PortfolioOptimisers.RkSet — Type

RkSet

Alias for RiskMeasureSettings.

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PortfolioOptimisers.HRkSet — Type

HRkSet

Alias for HierarchicalRiskMeasureSettings.

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Optimisers

Non-finite optimisers

PortfolioOptimisers.HRP — Type

HRP

Alias for HierarchicalRiskParity.

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PortfolioOptimisers.HERC — Type

HERC

Alias for HierarchicalEqualRiskContribution.

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PortfolioOptimisers.SCHRP — Type

SCHRP

Alias for SchurComplementHierarchicalRiskParity.

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PortfolioOptimisers.MR — Type

MR

Alias for MeanRisk.

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PortfolioOptimisers.RB — Type

RB

Alias for RiskBudgeting.

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PortfolioOptimisers.RRB — Type

RRB

Alias for RelaxedRiskBudgeting.

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PortfolioOptimisers.FRC — Type

FRC

Alias for FactorRiskContribution.

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PortfolioOptimisers.NOC — Type

NOC

Alias for NearOptimalCentering.

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PortfolioOptimisers.NCO — Type

NCO

Alias for NestedClustered.

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PortfolioOptimisers.STO — Type

STO

Alias for Stacking.

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PortfolioOptimisers.SSR — Type

SSR

Alias for SubsetResampling.

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PortfolioOptimisers.JuMPOpt — Type

JuMPOpt

Alias for JuMPOptimiser.

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PortfolioOptimisers.HOpt — Type

HOpt

Alias for HierarchicalOptimiser.

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Finite optimisers

PortfolioOptimisers.DAO — Type

DAO

Alias for DiscreteAllocation.

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PortfolioOptimisers.GAO — Type

GAO

Alias for [`GreedyAllocation`](@ref).

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PortfolioOptimisers.FAI — Type

FAI

Alias for FiniteAllocationInput.

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Moments

PortfolioOptimisers.SmER — Type

SmER

Alias for SimpleExpectedReturns.

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PortfolioOptimisers.GCov — Type

GCov

Alias for GeneralCovariance.

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PortfolioOptimisers.FMoment — Type

FMoment

Alias for FullMoment.

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PortfolioOptimisers.SMoment — Type

SMoment

Alias for SemiMoment.

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PortfolioOptimisers.Cov — Type

Cov

Alias for Covariance.

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PortfolioOptimisers.SVar — Type

SVar

Alias for SimpleVariance.

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PortfolioOptimisers.G0 — Type

G0

Alias for Gerber0.

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PortfolioOptimisers.G1 — Type

G1

Alias for Gerber1.

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PortfolioOptimisers.G2 — Type

G2

Alias for Gerber2.

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PortfolioOptimisers.GerberCov — Type

GerberCov

Alias for GerberCovariance.

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PortfolioOptimisers.SBCov — Type

SBCov

Alias for SmythBrobyCovariance.

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PortfolioOptimisers.SB0 — Type

SB0

Alias for SmythBroby0.

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PortfolioOptimisers.SB1 — Type

SB1

Alias for SmythBroby1.

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PortfolioOptimisers.SB2 — Type

SB2

Alias for SmythBroby2.

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PortfolioOptimisers.SBG0 — Type

SBG0

Alias for SmythBrobyGerber0.

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PortfolioOptimisers.SBG1 — Type

SBG1

Alias for SmythBrobyGerber1.

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PortfolioOptimisers.SBG2 — Type

SBG2

Alias for SmythBrobyGerber2.

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PortfolioOptimisers.SBC0 — Type

SBC0

Alias for SmythBrobyCount0.

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PortfolioOptimisers.SBC1 — Type

SBC1

Alias for SmythBrobyCount1.

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PortfolioOptimisers.SBC2 — Type

SBC2

Alias for SmythBrobyCount2.

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PortfolioOptimisers.DCov — Type

DCov

Alias for DistanceCovariance.

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PortfolioOptimisers.LTDCov — Type

LTDCov

Alias for LowerTailDependenceCovariance.

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PortfolioOptimisers.KCov — Type

KCov

Alias for KendallCovariance.

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PortfolioOptimisers.SCov — Type

SCov

Alias for SpearmanCovariance.

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PortfolioOptimisers.MICov — Type

MICov

Alias for MutualInfoCovariance.

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PortfolioOptimisers.DnCov — Function

DnCov

Alias for DenoiseCovariance.

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PortfolioOptimisers.DtCov — Function

DtCov

Alias for DetoneCovariance.

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PortfolioOptimisers.PrCov — Function

PrCov

Alias for ProcessedCovariance.

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PortfolioOptimisers.POCov — Type

POCov

Alias for PortfolioOptimisersCovariance.

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PortfolioOptimisers.ShER — Type

ShER

Alias for ShrunkExpectedReturns.

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PortfolioOptimisers.GM — Type

GM

Alias for GrandMean.

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PortfolioOptimisers.VW — Type

VW

Alias for VolatilityWeighted.

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PortfolioOptimisers.MSE — Type

MSE

Alias for MeanSquaredError.

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PortfolioOptimisers.JS — Type

JS

Alias for JamesStein.

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PortfolioOptimisers.BS — Type

BS

Alias for BayesStein.

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PortfolioOptimisers.BOP — Type

BOP

Alias for BodnarOkhrinParolya.

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PortfolioOptimisers.EqER — Type

EqER

Alias for EquilibriumExpectedReturns.

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PortfolioOptimisers.ExER — Type

ExER

Alias for ExcessExpectedReturns.

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PortfolioOptimisers.CoSk — Type

CoSk

Alias for Coskewness.

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PortfolioOptimisers.CoKt — Type

CoKt

Alias for Cokurtosis.

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PortfolioOptimisers.LinMod — Type

LinMod

Alias for LinearModel.

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PortfolioOptimisers.GLinMod — Type

GLinMod

Alias for GeneralisedLinearModel.

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Filters

PortfolioOptimisers.ZeroVarianceFilter — Function

ZeroVarianceFilter(; tol::Number = 1e-12) -> ScoreSelector

Alias 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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