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damar-wicaksono / uqtestfuns

A Python3 library of test functions from the uncertainty quantification community with a common interface for validation and benchmarking purposes.
https://uqtestfuns.readthedocs.io/en/latest/
MIT License
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Add the modulus version of the simple portfolio model from Saltelli et al. (2004) #320

Open damar-wicaksono opened 9 months ago

damar-wicaksono commented 9 months ago

The simple portfolio model from Saltelli et al. (2004) is in the pipeline (see Issue #319). The model is a linear three-dimensional model. The modulus version of the portfolio model focuses on the deviation of the portfolio from risk neutrality. This particular version complicates a bit the matter by introducing non-additivity and non-monotonicity to the original simple model.

damar-wicaksono commented 8 months ago

This issue has been resolved by PR #321.

The issue resolved by PR #321 is Issue #319.