Power Norm X at Risk: private API

PortfolioOptimisers.PRM — Function

PRM(
    x::AbstractVector{<:Union{var"#s136", var"#s53"} where {var"#s136"<:Number, var"#s53"<:AbstractJuMPScalar}},
    slv::Union{Solver, AbstractVector{<:Solver}}
) -> Union{Float64, Vector{Float64}}
PRM(
    x::AbstractVector{<:Union{var"#s136", var"#s53"} where {var"#s136"<:Number, var"#s53"<:AbstractJuMPScalar}},
    slv::Union{Solver, AbstractVector{<:Solver}},
    alpha::Number
) -> Union{Float64, Vector{Float64}}
PRM(
    x::AbstractVector{<:Union{var"#s136", var"#s53"} where {var"#s136"<:Number, var"#s53"<:AbstractJuMPScalar}},
    slv::Union{Solver, AbstractVector{<:Solver}},
    alpha::Number,
    p::Number
) -> Union{Float64, Vector{Float64}}
PRM(
    x::AbstractVector{<:Union{var"#s136", var"#s53"} where {var"#s136"<:Number, var"#s53"<:AbstractJuMPScalar}},
    slv::Union{Solver, AbstractVector{<:Solver}},
    alpha::Number,
    p::Number,
    w::Union{Nothing, DynamicAbstractWeights, AbstractWeights}
) -> Union{Float64, Vector{Float64}}

Compute the Power-Norm Risk Measure (PRM) for a vector of portfolio returns.

Solves a convex optimisation problem to compute the PRM at confidence level alpha with Lp-norm parameter p, using the specified solver(s).

Arguments

x: Vector of portfolio returns.
slv: Solver or vector of solvers.
alpha: Confidence level (default 0.05).
p: Lp-norm parameter (default 2.0).
Additional parameters depending on the specific PRM formulation.
kwargs...: Additional keyword arguments passed to the solver.

Returns

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

Related

References

[106] P. A. Krokhmal. Higher moment coherent risk measures. Quantitative Finance 7, 373–387 (2007).

source

References

[106]: P. A. Krokhmal. Higher moment coherent risk measures. Quantitative Finance 7, 373–387 (2007).