qis.PortfolioInput

class qis.PortfolioInput(name, weights, prices=None, allocation_type=AllocationType.FIXED_WEIGHTS, time_period=None, rebalancing_freq='QE', freq_regime='ME', returns_freq='ME', ewm_lambda=0.92, target_vol=None)

Bases: object

define data inputs for portfolio construction

Parameters:

• name (str)

• weights (ndarray | DataFrame | Dict[str, float])

• prices (DataFrame)

• allocation_type (AllocationType)

• time_period (TimePeriod)

• rebalancing_freq (str)

• freq_regime (str)

• returns_freq (str)

• ewm_lambda (float)

• target_vol (float)

__init__(name, weights, prices=None, allocation_type=AllocationType.FIXED_WEIGHTS, time_period=None, rebalancing_freq='QE', freq_regime='ME', returns_freq='ME', ewm_lambda=0.92, target_vol=None)

Parameters:

• name (str)

• weights (ndarray | DataFrame | Dict[str, float])

• prices (DataFrame)

• allocation_type (AllocationType)

• time_period (TimePeriod)

• rebalancing_freq (str)

• freq_regime (str)

• returns_freq (str)

• ewm_lambda (float)

• target_vol (float)

Return type:

None

Methods

__init__(name, weights[, prices, ...])
update(new)

Attributes

allocation_type
ewm_lambda
freq_regime
prices
rebalancing_freq
returns_freq
target_vol
time_period
name
weights

name: str

weights: ndarray | DataFrame | Dict[str, float]

prices: DataFrame = None

allocation_type: AllocationType = 2

time_period: TimePeriod = None

rebalancing_freq: str = 'QE'

freq_regime: str = 'ME'

returns_freq: str = 'ME'

ewm_lambda: float = 0.92

target_vol: float = None

update(new)

Parameters:

new (Dict[str, Any])