MultiFactorPortfolio¶
-
class
qf_lib.portfolio_construction.portfolio_models.multifactor_portfolio.
MultiFactorPortfolio
(covariance_matrix: qf_lib.containers.dataframe.qf_dataframe.QFDataFrame, variance: qf_lib.containers.series.qf_series.QFSeries, mean: qf_lib.containers.series.qf_series.QFSeries, max_drawdown: qf_lib.containers.series.qf_series.QFSeries, skewness: qf_lib.containers.series.qf_series.QFSeries, parameters: qf_lib.portfolio_construction.portfolio_models.multifactor_portfolio.PortfolioParameters, upper_constraint: Union[float, Sequence[float]] = None)[source]¶ Bases:
qf_lib.portfolio_construction.portfolio_models.portfolio.Portfolio
Class used for constructing a portfolio. It optimizes a portfolio considering:
variance of a portfolio(minimizing),
mean return of portfolio’s assets (maximizing),
max drawdown of the portfolio (minimizing).
Methods
- returns
-
get_weights
() → qf_lib.containers.series.qf_series.QFSeries[source]¶ - Returns
- Return type
a series indexed with names of assets containing weights (one for each asset)