Risk models

WORK IN PROGRESS

class cvxportfolio.FullSigma(Sigma, **kwargs)

Quadratic risk model with full covariance matrix.

Args:
Sigma (pd.Panel): Panel of Sigma matrices,
or single matrix.

Methods

class cvxportfolio.EmpSigma(returns, lookback, **kwargs)

Empirical Sigma matrix, built looking at lookback past returns.

Methods

class cvxportfolio.FactorModelSigma(exposures, factor_Sigma, idiosync, **kwargs)

Methods

class cvxportfolio.RobustSigma(Sigma, epsilon, **kwargs)

Implements covariance forecast error risk.

Methods

class cvxportfolio.WorstCaseRisk(riskmodels, **kwargs)

Methods