RiskParityPortfolio

class qf_lib.portfolio_construction.portfolio_models.risk_parity_portfolio.RiskParityPortfolio(input_dataframe: QFDataFrame, upper_constraint: Optional[Union[float, Sequence[float]]] = None)[source]

Bases: Portfolio

Class used for constructing a portfolio in which weight of each asset is proportional to the inverse volatility that it has. For each asset the standard deviation of its returns is calculated and the inverse of that result is the weight of the asset.

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).