es
Provides Expected Shortfall (short: ES) of the selected portfolio.
Usageโ
es [-m] [-d DIST] [-p PERCENTILE]
Parametersโ
Name | Parameter | Description | Default | Optional | Choices |
---|---|---|---|---|---|
use_mean | -m --mean | If one should use the mean of the portfolios return | True | True | None |
distribution | -d --dist | Distribution used for the calculations | normal | True | laplace, student_t, logistic, normal |
percentile | -p --percentile | Percentile used for ES calculations, for example input 99.9 equals a 99.9 Percent Expected Shortfall | 99.9 | True | None |
Examplesโ
2022 Feb 25, 03:09 (๐ฆ) /portfolio/ $ es
Portfolio Expected Shortfall
โโโโโโโโโณโโโโโโโโโโณโโโโโโโโโโโโโโโโโ
โ โ ES: โ Historical ES: โ
โกโโโโโโโโโโโโโโโโโโโโโโโโโโโโโโโโโโโฉ
โ 90.0% โ -0.0204 โ -0.0202 โ
โโโโโโโโโผโโโโโโโโโโผโโโโโโโโโโโโโโโโโค
โ 95.0% โ -0.0240 โ -0.0242 โ
โโโโโโโโโผโโโโโโโโโโผโโโโโโโโโโโโโโโโโค
โ 99.0% โ -0.0310 โ -0.0270 โ
โโโโโโโโโผโโโโโโโโโโผโโโโโโโโโโโโโโโโโค
โ 99.9% โ -0.0391 โ -0.0277 โ
โโโโโโโโโดโโโโโโโโโโดโโโโโโโโโโโโโโโโโ