MaxDiversificationPortfolio

class qf_lib.portfolio_construction.portfolio_models.max_diversification_portfolio.MaxDiversificationPortfolio(cov_matrix: QFDataFrame, std_of_assets: QFSeries, upper_constraint: Optional[Union[float, Sequence[float]]] = None)[source]

Bases: Portfolio

Class used for constructing a Max Diversification portfolio. See: http://allaboutalpha.com/blog/2011/03/27/the-most-diversified-portfolio/

Methods:

calculate_diversification_ratio(weights)

Calculates a Diversification Ratio for the portfolio taking the returns of assets (set for the portfolio) and the weights provided in the parameter.

get_weights()

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

calculate_diversification_ratio(weights: QFSeries) → float[source]

Calculates a Diversification Ratio for the portfolio taking the returns of assets (set for the portfolio) and the weights provided in the parameter. For two or more assets diversification ratio will be greater or equal to one. The higher it is, the better.

Parameters:: weights (pandas.Series) – series of weights indexed with names of assets
Returns:: Diversification Ratio
Return type:: float

get_weights() → QFSeries[source]

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