Kurtosis: private API

PortfolioOptimisers.calc_moment_target — Method

calc_moment_target(::Kurtosis{<:Any, Nothing, Nothing, ...}, ::Any, x::VecNum)
calc_moment_target(r::Kurtosis{<:Any, <:ObsWeights, Nothing, ...}, ::Any, x::VecNum)
calc_moment_target(r::Kurtosis{<:Any, <:Any, <:VecNum, ...}, w::VecNum, ::Any)
calc_moment_target(r::Kurtosis{<:Any, <:Any, <:VecScalar, ...}, w::VecNum, ::Any)
calc_moment_target(r::Kurtosis{<:Any, <:Any, <:Number, ...}, ::Any, ::Any)

Compute the target value for kurtosis moment calculations.

Dispatches on the type of r.w and r.mu to select the appropriate centring target. Follows the same rules as calc_moment_target.

Related

PortfolioOptimisers.calc_deviations_vec — Function

calc_deviations_vec(
    r::Kurtosis,
    w::AbstractVector{<:Union{var"#s136", var"#s53"} where {var"#s136"<:Number, var"#s53"<:AbstractJuMPScalar}},
    X::AbstractMatrix{<:Union{var"#s136", var"#s53"} where {var"#s136"<:Number, var"#s53"<:AbstractJuMPScalar}}
) -> Any
calc_deviations_vec(
    r::Kurtosis,
    w::AbstractVector{<:Union{var"#s136", var"#s53"} where {var"#s136"<:Number, var"#s53"<:AbstractJuMPScalar}},
    X::AbstractMatrix{<:Union{var"#s136", var"#s53"} where {var"#s136"<:Number, var"#s53"<:AbstractJuMPScalar}},
    fees::Union{Nothing, Fees}
) -> Any

Compute the vector of deviations from the target value for Kurtosis risk measures.

See calc_deviations_vec for details.

Related

PortfolioOptimisers.calc_deviations_vec — Method

calc_deviations_vec(
    r::Kurtosis,
    x::AbstractVector{<:Union{var"#s136", var"#s53"} where {var"#s136"<:Number, var"#s53"<:AbstractJuMPScalar}}
) -> Any

Compute the vector of deviations from the target value for a precomputed returns series for Kurtosis.

Single-argument form used by the precomputed-returns functor r(x::VecNum).

Related

PortfolioOptimisers.supports_precomputed_returns — Method

supports_precomputed_returns(r::Kurtosis) -> Any

Return whether Kurtosis r supports precomputed-return evaluation.

Delegates to weight_independent_target on r.mu: true iff the target is Nothing, a Number, or a MedianCenteringFunction; false for per-asset targets.

Related

calc_deviations_vec(
    r::Kurtosis,
    x::AbstractVector{<:Union{var"#s136", var"#s53"} where {var"#s136"<:Number, var"#s53"<:AbstractJuMPScalar}}
) -> Any

Compute the vector of deviations from the target value for a precomputed returns series for Kurtosis.

calc_moment_target(::Kurtosis{<:Any, Nothing, Nothing, ...}, ::Any, x::VecNum)
calc_moment_target(r::Kurtosis{<:Any, <:ObsWeights, Nothing, ...}, ::Any, x::VecNum)
calc_moment_target(r::Kurtosis{<:Any, <:Any, <:VecNum, ...}, w::VecNum, ::Any)
calc_moment_target(r::Kurtosis{<:Any, <:Any, <:VecScalar, ...}, w::VecNum, ::Any)
calc_moment_target(r::Kurtosis{<:Any, <:Any, <:Number, ...}, ::Any, ::Any)

Compute the target value for kurtosis moment calculations.

struct VecScalar{__T_v, __T_s} <: AbstractResult

Represents a composite result containing a vector and a scalar.

struct Fees{__T_tn, __T_l, __T_s, __T_fl, __T_fs, __T_lq, __T_flq, __T_fa, __T_kwargs, __T_imsk} <: AbstractResult

Charges a portfolio a turnover fee, a long or short proportional fee, and a long or short fixed fee.

struct Kurtosis{__T_settings, __T_w, __T_mu, __T_kt, __T_N, __T_alg1, __T_alg2, __T_pe} <: RiskMeasure

Represents the square root kurtosis risk measure.

const VecNum = AbstractVector{<:Union{<:Number, <:JuMP.AbstractJuMPScalar}}

Alias for an abstract vector of numeric types or JuMP scalar types.

const ObsWeights = Union{<:DynamicAbstractWeights, <:StatsBase.AbstractWeights}

Union type for observation weights accepted by estimators.

calc_deviations_vec(
    r::Union{HighOrderMoment{T1, T2, T3, T4}, LowOrderMoment{T1, T2, T3, T4}} where {T1, T2, T3, T4},
    x::AbstractVector{<:Union{var"#s136", var"#s53"} where {var"#s136"<:Number, var"#s53"<:AbstractJuMPScalar}}
) -> Any

Compute the vector of deviations from the target value for a precomputed returns series.

calc_moment_target(::LoHiOrderMoment{<:Any, Nothing, Nothing, <:Any},
                   ::Any, x::VecNum)

Compute the target value for moment calculations when neither a target value (mu) nor observation weights are provided in the risk measure.

calc_moment_target(r::LoHiOrderMoment{<:Any, <:StatsBase.AbstractWeights, Nothing, <:Any},
                   ::Any, x::VecNum)

Compute the target value for moment calculations when the risk measure provides an observation weights vector but no explicit target value (mu).

calc_moment_target(r::LoHiOrderMoment{<:Any, <:Any, <:VecNum, <:Any},
                   w::VecNum, ::Any)

Compute the target value for moment calculations when the risk measure provides an explicit expected returns vector (mu).

calc_moment_target(r::LoHiOrderMoment{<:Any, <:Any, <:Number, <:Any},
                   ::Any, ::Any)

Compute the target value for moment calculations when the risk measure provides a scalar value for the expected returns (mu).

calc_moment_target(r::LoHiOrderMoment{<:Any, <:Any, <:VecScalar, <:Any},
                   w::VecNum, ::Any)

Compute the target value for moment calculations when the risk measure provides a VecScalar as the expected returns (mu).

calc_deviations_vec(
    r::MedianAbsoluteDeviation,
    x::AbstractVector{<:Union{var"#s136", var"#s53"} where {var"#s136"<:Number, var"#s53"<:AbstractJuMPScalar}}
) -> Any

Compute the vector of deviations from the centering target for a precomputed returns series for MedianAbsoluteDeviation.

calc_moment_target(::MedianAbsoluteDeviation{<:Any, Nothing, <:MeanCentering, ...}, ::Any, x::VecNum)
calc_moment_target(r::MedianAbsoluteDeviation{<:Any, <:ObsWeights, <:MeanCentering, ...}, ::Any, x::VecNum)
calc_moment_target(::MedianAbsoluteDeviation{<:Any, Nothing, <:MedianCentering, ...}, ::Any, x::VecNum)
calc_moment_target(r::MedianAbsoluteDeviation{<:Any, <:ObsWeights, <:MedianCentering, ...}, ::Any, x::VecNum)
calc_moment_target(r::MedianAbsoluteDeviation{<:Any, <:Any, <:VecNum, ...}, w::VecNum, ::Any)
calc_moment_target(r::MedianAbsoluteDeviation{<:Any, <:Any, <:Number, ...}, ::Any, ::Any)
calc_moment_target(r::MedianAbsoluteDeviation{<:Any, <:Any, <:VecScalar, ...}, w::VecNum, ::Any)

Compute the centering target for MedianAbsoluteDeviation risk measure calculations.

calc_deviations_vec(
    r::Union{Skewness{<:Any, <:Any, <:Any, T1, T2}, ThirdCentralMoment{<:Any, T1, T2}} where {T1, T2},
    x::AbstractVector{<:Union{var"#s136", var"#s53"} where {var"#s136"<:Number, var"#s53"<:AbstractJuMPScalar}}
) -> Any

Compute the vector of deviations from the centering target for a precomputed returns series for ThirdCentralMoment and Skewness risk measures.

calc_moment_target(::TCM_Sk{Nothing, Nothing}, ::Any, x::VecNum)
calc_moment_target(r::TCM_Sk{<:StatsBase.AbstractWeights, Nothing}, ::Any, x::VecNum)
calc_moment_target(r::TCM_Sk{<:Any, <:VecNum}, w::VecNum, ::Any)
calc_moment_target(r::TCM_Sk{<:Any, <:VecScalar}, w::VecNum, ::Any)
calc_moment_target(r::TCM_Sk{<:Any, <:Number}, ::Any, ::Any)

Compute the centering target for ThirdCentralMoment and Skewness risk measures.