Riskfolio-Lib

https://riskfolio-lib.readthedocs.io/en/latest
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Riskfolio-Lib is a Python library for portfolio optimization and quantitative strategic asset...
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### Riskfolio-Lib Solver Compatibility for Risk Measures

Source: https://riskfolio-lib.readthedocs.io/en/latest/en/latest

This table specifies the type of programming technique used to model each risk measure in Riskfolio-Lib, guiding solver selection based on CVXPY compatibility. It also includes important notes and definitions for each programming type.

```APIDOC
Risk Measure Solver Compatibility:
  Variance (MV):
    Programming Techniques: SOCP, SDP*
  Mean Absolute Deviation (MAD):
    Programming Techniques: LP
  Gini Mean Difference (GMD):
    Programming Techniques: POW**
  Semi Variance (MSV):
    Programming Techniques: SOCP
  Kurtosis (KT):
    Programming Techniques: SDP
  Semi Kurtosis (SKT):
    Programming Techniques: SDP
  First Lower Partial Moment (FLPM):
    Programming Techniques: LP
  Second Lower Partial Moment (SLPM):
    Programming Techniques: SOCP
  Conditional Value at Risk (CVaR):
    Programming Techniques: LP
  Tail Gini (TG):
    Programming Techniques: POW**
  Entropic Value at Risk (EVaR):
    Programming Techniques: EXP
  Relativistic Value at Risk (RLVaR):
    Programming Techniques: POW**
  Worst Realization (WR):
    Programming Techniques: LP
  CVaR Range (CVRG):
    Programming Techniques: LP
  Tail Gini Range (TGRG):
    Programming Techniques: POW**
  EVaR Range (EVRG):
    Programming Techniques: EXP
  RLVaR Range (RVRG):
    Programming Techniques: POW**
  Range (RG):
    Programming Techniques: LP
  Average Drawdown (ADD):
    Programming Techniques: LP
  Ulcer Index (UCI):
    Programming Techniques: SOCP
  Conditional Drawdown at Risk (CDaR):
    Programming Techniques: LP
  Entropic Drawdown at Risk (EDaR):
    Programming Techniques: EXP
  Relativistic Drawdown at Risk (RLDaR):
    Programming Techniques: POW**
  Maximum Drawdown (MDD):
    Programming Techniques: LP

Notes:
  * When SDP graph theory constraints are included. In the case of integer programming graph theory constraints, the model assumes the SOCP formulation.
  ** For these models it is highly recommended to use MOSEK as solver, due to in some cases CLARABEL cannot find a solution and SCS takes too much time to solve them.

Definitions:
  LP: Linear Programming - problems with a linear objective function and linear constraints.
  QP: Quadratic Programming - problems with a quadratic objective function and linear constraints.
  SOCP: Second Order Cone Programming - problems with second-order cone constraints.
  SDP: Semidefinite Programming - problems with positive semidefinite constraints.
  EXP: problems with exponential cone constraints.
  POW: problems with 3-dimensional power cone constraints.
```

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### BibTeX Citation for Riskfolio-Lib

Source: https://riskfolio-lib.readthedocs.io/en/latest/en/latest

Standard BibTeX entry for academic and published works that utilize the Riskfolio-Lib open-source project, including author, title, publication year, and repository URL.

```BibTeX
@misc{riskfolio,
      author = {Dany Cajas},
      title = {Riskfolio-Lib (7.0.1)},
      year  = {2025},
      url   = {https://github.com/dcajasn/Riskfolio-Lib},
      }
```
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