skfolio.measures.edar#
- skfolio.measures.edar(drawdowns, beta=0.95)[source]#
Compute the EDaR (entropic drawdown at risk).
The EDaR is a coherent risk measure which is an upper bound for the DaR and the CDaR, obtained from the Chernoff inequality. The EDaR can be represented by using the concept of relative entropy.
- Parameters:
- drawdownsndarray of shape (n_observations,)
Vector of drawdowns.
- betafloat, default=0.95
The EDaR confidence level.
- Returns:
- valuefloat
EDaR.