Risk Measure Tools
PortfolioOptimisers.no_bounds_risk_measure — Function
no_bounds_risk_measure(r, args...; kwargs...)Add a risk measure to a JuMP model without upper-bound constraints.
Generic function extended by concrete risk measure types.
Related
PortfolioOptimisers.no_bounds_no_risk_expr_risk_measure — Function
no_bounds_no_risk_expr_risk_measure(r, args...; kwargs...)Add a risk measure to a JuMP model without upper-bound constraints and without adding a risk expression variable.
Generic function extended by concrete risk measure types.
Related
PortfolioOptimisers.no_risk_expr_risk_measure — Function
no_risk_expr_risk_measure(r, args...; kwargs...)Return a copy of risk measure r with its risk-expression flag disabled while preserving its upper-bound constraint.
Generic function extended by concrete risk measure types. For hierarchical risk measures, returns r unchanged.
Related
PortfolioOptimisers.bounds_risk_measure — Function
bounds_risk_measure(r, ub, args...; kwargs...)Return a copy of risk measure r with its upper-bound constraint set to ub.
Generic function extended by concrete risk measure types. For hierarchical risk measures, returns r unchanged.
Related
PortfolioOptimisers.unit_scale_risk_measure — Function
unit_scale_risk_measure(r)Return a copy of risk measure r with its scale set to one(scale), preserving its upper bound and its rke flag. A measure that already carries a unit scale is returned unchanged, so the common path allocates nothing.
scale is a combination weight: it says how much this measure contributes to an aggregate built from several measures. One measure is not an aggregate, so the weight has nothing to weigh and the model drops it before it can reach the risk expression. Hierarchical risk measures are returned unchanged.
Arguments
r: Risk measure.
Returns
- Risk measure carrying a unit scale.
Related