Range

PortfolioOptimisers.Range — Type

struct Range{__T_settings} <: RiskMeasure

Represents the Range risk measure.

Range computes the difference between the maximum and minimum portfolio returns, measuring the full spread of the return distribution. It is a simple measure of the total variability across all scenarios.

Mathematical definition

\[\begin{align} \mathrm{Range}(\boldsymbol{x}) &= \max_{1 \leq t \leq T} x_t - \min_{1 \leq t \leq T} x_t\,. \end{align}\]

Where:

$\mathrm{Range}(\boldsymbol{x})$: Full return spread of the portfolio.
$\boldsymbol{x}$: Portfolio returns vector $T \times 1$.
$T$: Number of observations.

Fields

settings: Risk measure settings.

Constructors

Range(;    settings::RiskMeasureSettings = RiskMeasureSettings()) -> Range

Keywords correspond to the struct's fields.

Functor

(r::Range)(x::VecNum)

Computes the Range of a portfolio returns vector x.

Arguments

x::VecNum: Portfolio returns vector.

Examples

julia> Range()Range  settings ┼ RiskMeasureSettings           │   scale ┼ Float64: 1.0           │      ub ┼ nothing           │     rke ┴ Bool: true

Related

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