qis.compute_benchmark_portfolio_risk_contributions¶
- qis.compute_benchmark_portfolio_risk_contributions(w_portfolio, w_benchmark, covar, is_independent_risk=False)[source]¶
Computes risk contributions of active positions relative to benchmark.
- Parameters:
w_portfolio (ndarray | Series) – Portfolio weights as array or Series.
w_benchmark (ndarray | Series) – Benchmark weights as array or Series.
covar (ndarray | DataFrame) – Covariance matrix as array or DataFrame.
is_independent_risk (bool) – If True, assumes positions are independent (diagonal risk only).
- Returns:
Risk contributions of active positions (portfolio - benchmark).
- Raises:
ValueError – If input types are not compatible.
AssertionError – If dimensions don’t match for numpy arrays.
- Return type: