skfolio.measures.entropic_risk_measure#
- skfolio.measures.entropic_risk_measure(returns, theta=1, beta=0.95)[source]#
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,)
Vector of returns.
- thetafloat, default=1.0
Risk aversion.
- betafloat, default=0.95
Confidence level.
- Returns:
- valuefloat
Entropic risk measure.