MaxSharpeRatioPortfolio

class qf_lib.portfolio_construction.portfolio_models.max_sharpe_ratio_portfolio.MaxSharpeRatioPortfolio(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, risk_free_rate: float = 0.0, max_iter: int = 10000)[source]

Bases: qf_lib.portfolio_construction.portfolio_models.portfolio.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()

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)