MultiFactorPortfolio

class qf_lib.portfolio_construction.portfolio_models.multifactor_portfolio.MultiFactorPortfolio(covariance_matrix: qf_lib.containers.dataframe.qf_dataframe.QFDataFrame, variance: qf_lib.containers.series.qf_series.QFSeries, mean: qf_lib.containers.series.qf_series.QFSeries, max_drawdown: qf_lib.containers.series.qf_series.QFSeries, skewness: qf_lib.containers.series.qf_series.QFSeries, parameters: qf_lib.portfolio_construction.portfolio_models.multifactor_portfolio.PortfolioParameters, upper_constraint: Union[float, Sequence[float]] = None)[source]

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

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)