MaxSharpeRatioPortfolio

class qf_lib.portfolio_construction.portfolio_models.max_sharpe_ratio_portfolio.MaxSharpeRatioPortfolio(cov_matrix: QFDataFrame, mean_returns: QFSeries, upper_constraint: Optional[Union[float, Sequence[float]]] = None, risk_free_rate: float = 0.0, max_iter: int = 10000)[source]

Bases: Portfolio

Class used for constructing a Max Sharpe Ratio portfolio. See: http://people.stat.sc.edu/sshen/events/backtesting/reference/maximizing%20the%20sharpe%20ratio.pdf

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).