GitHub

Variance Constraints

PortfolioOptimisers.variance_risk_bounds_val — Function
variance_risk_bounds_val(
    bound::FrontierBoundEstimator,
    ub::Frontier
) -> Frontier{<:Integer, Int64, <:FrontierBoundEstimator}

Convert a bound value to the appropriate scale for the selected variance formulation.

Dispatches on the FrontierBoundEstimator strategy:

  • LinearBound: passes the bound through unchanged (variance units → variance units).
  • SquareRootBound: applies sqrt to convert from variance to standard-deviation units.
  • SquaredBound: applies squaring to convert from linear to squared units.

Returns nothing when ub is nothing.

Arguments

  • bound::FrontierBoundEstimator: Bound-transformation strategy.
  • ub: Bound value (scalar, vector, Frontier, or nothing).

Returns

  • The rescaled bound, or nothing when ub is nothing.

Related

source