Frontiers

systematica.portfolio.frontiers

FrontierAssetStats

FrontierAssetStats(
    alpha: float = 0.05,
    a_sim: int = 100,
    beta: float = None,
    b_sim: int = None,
    kappa: float = 0.3,
    model: str = 'Classic',
    rm: str = 'MV',
    kelly: str = None,
    rf: float = 0.0,
    hist: bool = True,
    solver: str = 'CLARABEL',
    constraints: List[Dict[str, str]] = None,
    asset_classes: dict = _Nothing.NOTHING,
    config: Dict[str, Any] = _Nothing.NOTHING,
)

Class that creates a portfolio object with all properties needed to calculate optimal portfolios.

Method generated by attrs for class BaseFrontier.

Ancestors

• systematica.portfolio.base.BaseFrontier
• abc.ABC
• riskfolio.src.Portfolio.Portfolio

Methods

fit

fit(
    self,
    market_returns: pandas.core.frame.DataFrame,
) ‑> systematica.portfolio.base.BaseFrontier

Calculate the inputs that will be used by the optimization method when we select the input model Classic.

More information in the Riskfolio Documentation.

Parameters:

Name	Type	Default	Description
market_returns	pd.DataFrame	--	Market returns data.

Returns:

Type	Description
BaseFrontier	BaseFrontier instance.