skfolio.measures.evar#
- skfolio.measures.evar(returns, beta=0.95)[source]#
Compute the EVaR (entropic value at risk) and its associated risk aversion.
The EVaR is a coherent risk measure which is an upper bound for the VaR and the CVaR, obtained from the Chernoff inequality. The EVaR can be represented by using the concept of relative entropy.
- Parameters:
- returnsndarray of shape (n_observations,)
Vector of returns.
- betafloat, default=0.95
The EVaR confidence level.
- Returns:
- valuefloat
EVaR.