KellyPortfolio

class qf_lib.portfolio_construction.portfolio_models.kelly_portfolio.KellyPortfolio(cov_matrix: qf_lib.containers.dataframe.qf_dataframe.QFDataFrame, mean_returns: qf_lib.containers.series.qf_series.QFSeries, upper_constraint: Union[float, Sequence[float]] = None)[source]

Bases: qf_lib.portfolio_construction.portfolio_models.portfolio.Portfolio

Class used for constructing a portfolio based on Kelly’s criterion.

Methods

get_weights()

returns
get_weights() → qf_lib.containers.series.qf_series.QFSeries[source]
Returns

Return type

a series indexed with names of assets containing weights (one for each asset)