Coverage for src / cvx / risk / cvar / __init__.py: 100%

1"""Conditional Value at Risk (CVaR) models for portfolio optimization. 

2 

3This subpackage provides the CVar class for CVaR-based risk estimation. 

4CVaR, also known as Expected Shortfall, measures the expected loss in the 

5tail of the return distribution. 

6 

7Example: 

8 >>> import numpy as np 

9 >>> from cvx.risk.cvar import CVar 

10 >>> # Create CVaR model 

11 >>> model = CVar(alpha=0.95, n=100, m=5) 

12 >>> # Update with historical returns 

13 >>> np.random.seed(42) 

14 >>> returns = np.random.randn(100, 5) 

15 >>> model.update( 

16 ... returns=returns, 

17 ... lower_assets=np.zeros(5), 

18 ... upper_assets=np.ones(5) 

19 ... ) 

20 >>> w = np.ones(5) / 5 

21 >>> cvar = model.estimate(w) 

22 >>> isinstance(cvar, float) 

23 True 

24 

25""" 

26 

27# Copyright 2023 Stanford University Convex Optimization Group 

28# 

29# Licensed under the Apache License, Version 2.0 (the "License"); 

30# you may not use this file except in compliance with the License. 

31# You may obtain a copy of the License at 

32# 

33# http://www.apache.org/licenses/LICENSE-2.0 

34# 

35# Unless required by applicable law or agreed to in writing, software 

36# distributed under the License is distributed on an "AS IS" BASIS, 

37# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. 

38# See the License for the specific language governing permissions and 

39# limitations under the License. 

40from .cvar import CVar as CVar