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).