[GSoC-PortA] Quick question on multipliers and constrained_objective()

[Brian G. Peterson]

On 06/21/2013 10:44 PM, Doug Martin wrote:
> Small comment:  a lot (if not most) literature on risk takes risk as a
> positive number, so puts a minus sign on the VaR quantile, etc.  I
> previously noticed that PerformanceAnalytics takes risk as negative, had the
> thought to change that.

PerformanceAnalytics allows it either way, user's choice.

Risk is risk of *loss*.  Period.

Now, the math is sometimes/often easier with a positive number, I admit, 
but it's typical for risk reports on real portfolios to describe those 
risks as negative numbers.

So we allow either.

Cheers,

Brian


-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock