MaxExcessReturnPortfolio

class qf_lib.portfolio_construction.portfolio_models.max_excess_return_portfolio.MaxExcessReturnPortfolio(cov_matrix: QFDataFrame, variance_of_assets: QFSeries, upper_constraint: Optional[Union[float, Sequence[float]]] = None)[source]

Bases: Portfolio

Class used for constructing a portfolio which is optimized considering its excess return (maximized). Excess return is defined as: portfolio volatility - 0.5 * weighted variance of individual assets.

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).