Enum AllocationMethod 

pub enum AllocationMethod {
    Euler,
    Covariance,
    Proportional,
    Marginal,
    Shapley,
}

How PredictiveDistribution::capital splits the portfolio’s risk measure ρ(S), S = Σ X_j, between components X_j.

Variants

Euler

Euler (co-measure) allocation, ∂ρ(S + h X_j)/∂h at h = 0: the component’s own draws weighted by the distortion weights of the total’s ranks. For TVaR these are the CoTVaRs, E[X_j | S in its top 1 − p]. The only method that is consistent with marginal changes to the portfolio. Sums to ρ(S).

Covariance

ρ(S) Cov(X_j, S) / Var(S): the variance’s Euler allocation scaled to ρ(S). Looks at the whole distribution, not the tail. Sums to ρ(S).

Proportional

ρ(S) ρ(X_j) / Σ_k ρ(X_k), the stand-alone measures scaled to the total (the “haircut” allocation). Ignores dependence beyond the total. Sums to ρ(S).

Marginal

ρ(S) − ρ(S − X_j), what the portfolio’s measure falls by without the component (Merton–Perold). Does not sum to ρ(S); the shortfall is the capital no single component is responsible for.

Shapley

The Shapley value of the game v(T) = ρ(Σ_{j∈T} X_j): each component’s marginal contribution averaged over every order of joining. Sums to ρ(S). Needs ρ of all 2^m sub-portfolios, so it is limited to 12 components.

Trait Implementations

impl Clone for AllocationMethod

fn clone(&self) -> AllocationMethod

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Copy for AllocationMethod

impl Debug for AllocationMethod

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl Eq for AllocationMethod

impl PartialEq for AllocationMethod

fn eq(&self, other: &AllocationMethod) -> bool

Equality operator ==.

fn ne(&self, other: &Rhs) -> bool

Inequality operator !=.

impl StructuralPartialEq for AllocationMethod