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Entropic X at Risk: private API

PortfolioOptimisers.ERM — Function
ERM(x, slv, alpha = 0.05, ...; kwargs...)

Compute the Entropic Risk Measure (ERM) for a vector of portfolio returns.

Solves a convex optimisation problem to compute the ERM at confidence level alpha, using the specified solver(s). The ERM is a coherent risk measure based on the exponential moment of the loss distribution.

Arguments

  • x: Vector of portfolio returns.
  • slv: Solver or vector of solvers.
  • alpha: Confidence level (default 0.05).
  • Additional parameters depending on the specific ERM formulation.
  • kwargs...: Additional keyword arguments passed to the solver.

Returns

  • ERM value (scalar), or NaN if no solver in slv succeeds.

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