qis.regimes.compute_overlay_blend_frontier

qis.regimes.compute_overlay_blend_frontier(sr_b, vol_b, sr_a, vol_a, rho, af, premium_a=0.0, overlay_weights=None, tail_prob=0.16)[source]

Closed-form frontier of the blends (1 - x) benchmark plus x overlay.

Parameters:

  • sr_b (float) – annualised Sharpe ratio of the benchmark

  • vol_b (float) – annualised volatility of the benchmark

  • sr_a (float) – annualised Sharpe ratio of the overlay

  • vol_a (float) – annualised volatility of the overlay

  • rho (float) – correlation of the overlay with the benchmark

  • af (float) – annualisation factor of the periodic returns

  • premium_a (float) – convexity premium of the overlay; zero gives the Gaussian-null frontier

  • overlay_weights (ndarray | None) – overlay weights x; None is 0 to 1 in steps of 0.05

  • tail_prob (float) – probability of each tail bucket

Returns:

portfolio_vol, sharpe, benchmark_corr and bear_sharpe

Return type:

per overlay weight