Start working on adding expected risk for predictions

Author: dcelisgarza

src/13_Prior/01_Base_Prior.jl

@@ -155,6 +155,7 @@ Abstract supertype for all prior result types.
 """
 abstract type AbstractPriorResult <: AbstractResult end
 const PrE_Pr = Union{<:AbstractPriorEstimator, <:AbstractPriorResult}
+const Pr_RR = Union{<:AbstractPriorResult, <:AbstractReturnsResult}
 """
     prior(pr::AbstractPriorEstimator, rd::ReturnsResult; kwargs...)
 

src/19_RiskMeasures/25_ExpectedRisk.jl

@@ -32,16 +32,16 @@ function expected_risk(r::ERkNetRet, w::VecNum, X::MatNum, fees::Option{<:Fees}
                        kwargs...)
     return r(calc_net_returns(w, X, fees))
 end
-function expected_risk(r::ERkNetRet, w::VecNum, pr::AbstractPriorResult,
-                       fees::Option{<:Fees} = nothing; kwargs...)
+function expected_risk(r::ERkNetRet, w::VecNum, pr::Pr_RR, fees::Option{<:Fees} = nothing;
+                       kwargs...)
     return r(calc_net_returns(w, pr.X, fees))
 end
 function expected_risk(r::ERkwXFees, w::VecNum, X::MatNum, fees::Option{<:Fees} = nothing;
                        kwargs...)
     return r(w, X, fees)
 end
-function expected_risk(r::ERkwXFees, w::VecNum, pr::AbstractPriorResult,
-                       fees::Option{<:Fees} = nothing; kwargs...)
+function expected_risk(r::ERkwXFees, w::VecNum, pr::Pr_RR, fees::Option{<:Fees} = nothing;
+                       kwargs...)
     return r(w, pr.X, fees)
 end
 function expected_risk(r::ERkw, w::VecNum, args...; kwargs...)
@@ -52,7 +52,8 @@ function expected_risk(r::RiskRatioRiskMeasure, w::VecNum, X::MatNum,
     return expected_risk(r.r1, w, X, fees; kwargs...) /
            expected_risk(r.r2, w, X, fees; kwargs...)
 end
-function expected_risk(r::RiskRatioRiskMeasure, w::VecNum, pr::AbstractPriorResult,
+function expected_risk(r::RiskRatioRiskMeasure, w::VecNum,
+                       pr::Union{<:AbstractPriorResult <: AbstractReturnsResult},
                        fees::Option{<:Fees} = nothing; kwargs...)
     return expected_risk(r.r1, w, pr.X, fees; kwargs...) /
            expected_risk(r.r2, w, pr.X, fees; kwargs...)

src/20_Optimisation/01_Base_Optimisation.jl

@@ -227,11 +227,21 @@ function calc_net_returns(res::NonFiniteAllocationOptimisationResult, X::MatNum,
     end
     return calc_net_returns(res.w, X, fees)
 end
-function calc_net_returns(res::NonFiniteAllocationOptimisationResult,
-                          pr::Union{<:AbstractPriorResult, <:ReturnsResult},
+function calc_net_returns(res::NonFiniteAllocationOptimisationResult, pr::Pr_RR,
                           fees::Option{<:Fees} = nothing)
     return calc_net_returns(res, pr.X, fees)
 end
+function expected_risk(res::OptimisationResult, r::ERkNetRet, X::MatNum,
+                       fees::Option{<:Fees} = nothing; kwargs...)
+    if isnothing(fees) && hasproperty(res, :fees)
+        fees = res.fees
+    end
+    return expected_risk(r, res.w, X; fees = fees, kwargs...)
+end
+function expected_risk(res::OptimisationResult, r::ERkNetRet, pr::Pr_RR,
+                       fees::Option{<:Fees} = nothing; kwargs...)
+    return expected_risk(r, res.w, pr.X; fees = fees, kwargs...)
+end
 function needs_previous_weights(::Nothing)
     return false
 end