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No Risk Constraints: private API

PortfolioOptimisers.set_risk_constraints! — Method
set_risk_constraints!(model::JuMP.Model, ::Any, r::NoRisk,
                      opt::RiskJuMPOptimisationEstimator, pr::AbstractPriorResult,
                      args...; loss::Bool = true, prefix::Symbol = Symbol(""),
                      kwargs...)

Add the NoRisk risk expression to the JuMP model.

Registers a zero affine expression, so the risk contributes nothing to the objective and no variables or constraints are created. The model class is left untouched — a linear problem stays a linear program.

Arguments

  • model::JuMP.Model: The JuMP optimisation model.
  • r::NoRisk: No-risk measure instance.
  • opt::RiskJuMPOptimisationEstimator: Risk-based optimisation estimator.
  • pr::AbstractPriorResult: Prior result containing the returns matrix X.

Returns

  • nr_risk: The zero risk expression.

Related

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