risk.allocate()

Allocates a distortion risk measure of the total to the components.

Usage

risk.allocate(
    pd,
    distortion,
)

Euler allocation by co-measure: simulations are ranked by their total and each component gets the distortion-weighted sum of its own draws. The contributions sum to distortion.measure(pd); for Distortion.tvar(p) they are the CoTVaRs. Components must add up to the portfolio being allocated.

Parameters

pd: PredictiveDistribution

distortion: Distortion

Returns

list of float

One contribution per component, in pd.components() order.

Examples

>>> from prospicio.distributions import PredictiveDistribution
>>> from prospicio.risk import Distortion, allocate
>>> pd = PredictiveDistribution(["lob"], [("motor",), ("property",)],
...                             [[1.0, 2.0], [4.0, 1.0], [2.0, 5.0], [3.0, 6.0]])
>>> allocate(pd, Distortion.tvar(0.5))

[2.5, 5.5]