QuadraticOptimizer¶
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class
qf_lib.portfolio_construction.optimizers.quadratic_optimizer.QuadraticOptimizer[source]¶ Bases:
objectClass used for optimizing quadratic problems.
Methods
get_optimal_weights(P, q, upper_constraints, …)Solves the problem defined by matrix h, vector f and constraints.
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classmethod
get_optimal_weights(P: numpy.ndarray = None, q: numpy.ndarray = None, upper_constraints: Union[Sequence, float] = None) → numpy.ndarray[source]¶ Solves the problem defined by matrix h, vector f and constraints.
- Parameters
P – a square matrix from the quadratic formula
q – a vector (can be empty) from the quadratic formula
upper_constraints – vector of upper limits of weights (if it’s a single value, the constraint will be the same for each weight). Example: 0.5 means that max allocation of some asset can be 50%.
- Returns
best weights for the given problem. Sum of all weights is equal 1.
- Return type
weights
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classmethod