skfolio.measures.entropic_risk_measure

skfolio.measures.entropic_risk_measure(returns, theta=1, beta=0.95, sample_weight=None)

Compute the entropic risk measure.

The entropic risk measure is a risk measure which depends on the risk aversion defined by the investor (theta) through the exponential utility function at a given confidence level (beta).

Parameters:

returnsndarray of shape (n_observations,) or (n_observations, n_assets)

Array of return values.

thetafloat, default=1.0

Risk aversion.

betafloat, default=0.95

Confidence level.

sample_weightndarray of shape (n_observations,), optional

Sample weights for each observation. If None, equal weights are assumed.

Returns:

valuefloat or ndarray of shape (n_assets,)

Entropic risk measure. If returns is a 1D-array, the result is a float. If returns is a 2D-array, the result is a ndarray of shape (n_assets,).