Module capital 

Capital allocation and diversification for a joint PredictiveDistribution.

The portfolio is the total of the components, and its capital is a distortion risk measure ρ of that total. An allocation splits ρ(S) back to the components. Methods differ in what they reward; see AllocationMethod and docs/design/risk.md.

Structs

Allocation

The result of PredictiveDistribution::capital.

Enums

AllocationMethod

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

Constants

SHAPLEY_MAX_COMPONENTS

Most components AllocationMethod::Shapley accepts.