risk.Allocation
Capital allocation of a distortion risk measure, from capital.
Usage
risk.Allocation()Attributes
| Name | Description |
|---|---|
| allocated | Allocated capital of each component. |
| method | The allocation method, as passed to capital. |
| standalone |
Stand-alone measure rho(X_j) of each component.
|
| total |
The portfolio’s measure, rho(S).
|
allocated
Allocated capital of each component.
allocated: list[float]
method
The allocation method, as passed to capital.
method: str
standalone
Stand-alone measure rho(X_j) of each component.
standalone: list[float]
total
The portfolio’s measure, rho(S).
total: float
Methods
| Name | Description |
|---|---|
| diversification() |
standalone - allocated per component: each one’s share of the
|
| diversification_benefit() |
sum(standalone) - total: the capital saved by holding the
|
diversification()
standalone - allocated per component: each one’s share of the
Usage
diversification()diversification benefit.
Returns
list of float
diversification_benefit()
sum(standalone) - total: the capital saved by holding the
Usage
diversification_benefit()components together.
Returns
float