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60 lines
2.1 KiB
Markdown
Vendored
60 lines
2.1 KiB
Markdown
Vendored
---
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title: es
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description: This documentation page provides guidance on how to use the Expected
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Shortfall (ES) function of the selected portfolio. It includes its usage, parameters
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including distribution and percentile, and examples.
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keywords:
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- Expected Shortfall
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- ES function
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- portfolio
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- parameters
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- distribution
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- percentile
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- portfolio return
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- mean of portfolios
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---
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import HeadTitle from '@site/src/components/General/HeadTitle.tsx';
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<HeadTitle title="portfolio/es - Reference | OpenBB Terminal Docs" />
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Provides Expected Shortfall (short: ES) of the selected portfolio.
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### Usage
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```python
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es [-m] [-d DIST] [-p PERCENTILE]
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```
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---
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## Parameters
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| Name | Description | Default | Optional | Choices |
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| ---- | ----------- | ------- | -------- | ------- |
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| use_mean | If one should use the mean of the portfolios return | True | True | None |
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| distribution | Distribution used for the calculations | normal | True | laplace, student_t, logistic, normal |
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| percentile | Percentile used for ES calculations, for example input 99.9 equals a 99.9 Percent Expected Shortfall | 99.9 | True | None |
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---
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## Examples
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```python
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2022 Feb 25, 03:09 (🦋) /portfolio/ $ es
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Portfolio Expected Shortfall
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┏━━━━━━━┳━━━━━━━━━┳━━━━━━━━━━━━━━━━┓
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┃ ┃ ES: ┃ Historical ES: ┃
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┡━━━━━━━╇━━━━━━━━━╇━━━━━━━━━━━━━━━━┩
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│ 90.0% │ -0.0204 │ -0.0202 │
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├───────┼─────────┼────────────────┤
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│ 95.0% │ -0.0240 │ -0.0242 │
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├───────┼─────────┼────────────────┤
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│ 99.0% │ -0.0310 │ -0.0270 │
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├───────┼─────────┼────────────────┤
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│ 99.9% │ -0.0391 │ -0.0277 │
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└───────┴─────────┴────────────────┘
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```
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---
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