KellyPortfolio

class qf_lib.portfolio_construction.portfolio_models.kelly_portfolio.KellyPortfolio(cov_matrix: QFDataFrame, mean_returns: QFSeries, upper_constraint: Optional[Union[float, Sequence[float]]] = None)[source]

Bases: Portfolio

Class used for constructing a portfolio based on Kelly’s criterion.

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).