MaxExcessReturnPortfolio¶

class qf_lib.portfolio_construction.portfolio_models.max_excess_return_portfolio.MaxExcessReturnPortfolio(cov_matrix: qf_lib.containers.dataframe.qf_dataframe.QFDataFrame, variance_of_assets: 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 which is optimized considering its excess return (maximized). Excess return is defined as: portfolio volatility - 0.5 * weighted variance of individual assets.

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)