skfolio.measures.ExtraRiskMeasure

class skfolio.measures.ExtraRiskMeasure(*values)

Enumeration of other risk measures not used in convex optimization.

Attributes:

VALUE_AT_RISKstr

Value at Risk (VaR).

DRAWDOWN_AT_RISKstr

Drawdown at Risk.

ENTROPIC_RISK_MEASUREstr

Entropic Risk Measure.

FOURTH_CENTRAL_MOMENTstr

Fourth Central Moment.

FOURTH_LOWER_PARTIAL_MOMENTstr

Fourth Lower Central Moment.

SKEWstr

Skew.

KURTOSISstr

Kurtosis.

property annualized_measure

Annualized version of the measure.

Raises:

ValueError

If the measure is already annualized.

AttributeError

If the measure has no annualized version.

classmethod has(value)

Check if a value is in the Enum.

Parameters:

valuestr

Input value.

Returns:

xbool

True if the value is in the Enum, False otherwise.

property is_annualized

Whether the measure is annualized.

property is_perf

Whether the measure is a performance measure.

property is_ratio

Whether the measure is a ratio measure.

property is_risk

Whether the measure is a risk measure.

property non_annualized_measure

Non-annualized version of the measure.

Raises:

ValueError

If the measure is not annualized.