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es

Provides Expected Shortfall (short: ES) of the selected portfolio.

Usageโ€‹

es [-m] [-d DIST] [-p PERCENTILE]

Parametersโ€‹

NameParameterDescriptionDefaultOptionalChoices
use_mean-m --meanIf one should use the mean of the portfolios returnTrueTrueNone
distribution-d --distDistribution used for the calculationsnormalTruelaplace, student_t, logistic, normal
percentile-p --percentilePercentile used for ES calculations, for example input 99.9 equals a 99.9 Percent Expected Shortfall99.9TrueNone

Examplesโ€‹

2022 Feb 25, 03:09 (๐Ÿฆ‹) /portfolio/ $ es
Portfolio Expected Shortfall
โ”โ”โ”โ”โ”โ”โ”โ”โ”ณโ”โ”โ”โ”โ”โ”โ”โ”โ”โ”ณโ”โ”โ”โ”โ”โ”โ”โ”โ”โ”โ”โ”โ”โ”โ”โ”โ”“
โ”ƒ โ”ƒ ES: โ”ƒ Historical ES: โ”ƒ
โ”กโ”โ”โ”โ”โ”โ”โ”โ•‡โ”โ”โ”โ”โ”โ”โ”โ”โ”โ•‡โ”โ”โ”โ”โ”โ”โ”โ”โ”โ”โ”โ”โ”โ”โ”โ”โ”ฉ
โ”‚ 90.0% โ”‚ -0.0204 โ”‚ -0.0202 โ”‚
โ”œโ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”ผโ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”ผโ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”ค
โ”‚ 95.0% โ”‚ -0.0240 โ”‚ -0.0242 โ”‚
โ”œโ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”ผโ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”ผโ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”ค
โ”‚ 99.0% โ”‚ -0.0310 โ”‚ -0.0270 โ”‚
โ”œโ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”ผโ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”ผโ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”ค
โ”‚ 99.9% โ”‚ -0.0391 โ”‚ -0.0277 โ”‚
โ””โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”ดโ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”ดโ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”€โ”˜