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OpenBB/website/content/terminal/reference/portfolio/es.md
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---------

Co-authored-by: jose-donato <zmcdonato@gmail.com>
Co-authored-by: jose-donato <43375532+jose-donato@users.noreply.github.com>
Co-authored-by: andrewkenreich <andrew.kenreich@gmail.com>
2023-10-30 21:01:29 +00:00

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title, description, keywords
title description keywords
es This documentation page provides guidance on how to use the Expected Shortfall (ES) function of the selected portfolio. It includes its usage, parameters including distribution and percentile, and examples.
Expected Shortfall
ES function
portfolio
parameters
distribution
percentile
portfolio return
mean of portfolios

import HeadTitle from '@site/src/components/General/HeadTitle.tsx';

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

Usage

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

Parameters

Name Description Default Optional Choices
use_mean If one should use the mean of the portfolios return True True None
distribution Distribution used for the calculations normal True laplace, student_t, logistic, normal
percentile Percentile used for ES calculations, for example input 99.9 equals a 99.9 Percent Expected Shortfall 99.9 True None

Examples

2022 Feb 25, 03:09 (🦋) /portfolio/ $ es
    Portfolio Expected Shortfall
┏━━━━━━━┳━━━━━━━━━┳━━━━━━━━━━━━━━━━┓
┃       ┃ ES:     ┃ Historical ES: ┃
┡━━━━━━━╇━━━━━━━━━╇━━━━━━━━━━━━━━━━┩
│ 90.0% │ -0.0204 │ -0.0202        │
├───────┼─────────┼────────────────┤
│ 95.0% │ -0.0240 │ -0.0242        │
├───────┼─────────┼────────────────┤
│ 99.0% │ -0.0310 │ -0.0270        │
├───────┼─────────┼────────────────┤
│ 99.9% │ -0.0391 │ -0.0277        │
└───────┴─────────┴────────────────┘