MultiFactorPortfolio

class qf_lib.portfolio_construction.portfolio_models.multifactor_portfolio.MultiFactorPortfolio(covariance_matrix: QFDataFrame, variance: QFSeries, mean: QFSeries, max_drawdown: QFSeries, skewness: QFSeries, parameters: PortfolioParameters, upper_constraint: Optional[Union[float, Sequence[float]]] = None)[source]

Bases: 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:

get_weights()

rtype:

a series indexed with names of assets containing weights (one for each asset).

get_weights() QFSeries[source]
Return type:

a series indexed with names of assets containing weights (one for each asset).