Index

_

__post_init__() (risk.bounds.Bounds method) (risk.cvar.CVar method) (risk.cvar.cvar.CVar method) (risk.factor.factor.FactorModel method) (risk.factor.FactorModel method) (risk.sample.sample.SampleCovariance method) (risk.sample.SampleCovariance method)

_f() (risk.bounds.Bounds method)

A

alpha (risk.cvar.CVar attribute) (risk.cvar.cvar.CVar attribute)

assets (risk.factor.factor.FactorModel attribute) (risk.factor.FactorModel attribute)

B

Bounds (class in risk.bounds)

C

cholesky() (in module risk.linalg) (in module risk.linalg.cholesky) constraints() (risk.bounds.Bounds method) (risk.cvar.CVar method) (risk.cvar.cvar.CVar method) (risk.factor.factor.FactorModel method) (risk.factor.FactorModel method) (risk.Model method) (risk.model.Model method) (risk.sample.sample.SampleCovariance method) (risk.sample.SampleCovariance method)

cov (risk.linalg.pca.PCA attribute) CVar (class in risk.cvar) (class in risk.cvar.cvar)

E

estimate() (risk.bounds.Bounds method) (risk.cvar.CVar method) (risk.cvar.cvar.CVar method) (risk.factor.factor.FactorModel method) (risk.factor.FactorModel method) (risk.Model method) (risk.model.Model method) (risk.sample.sample.SampleCovariance method) (risk.sample.SampleCovariance method)

explained_variance (risk.linalg.pca.PCA attribute) exposure (risk.linalg.pca.PCA attribute)

F

FactorModel (class in risk.factor) (class in risk.factor.factor)

factors (risk.linalg.pca.PCA attribute)

I

idiosyncratic (risk.linalg.pca.PCA attribute)

K

k (risk.factor.factor.FactorModel attribute) (risk.factor.FactorModel attribute)

M

m (risk.bounds.Bounds attribute) (risk.cvar.CVar attribute) (risk.cvar.cvar.CVar attribute) minrisk_problem() (in module portfolio.min_risk) Model (class in risk) (class in risk.model) module portfolio portfolio.min_risk random random.rand_cov risk risk.bounds risk.cvar risk.cvar.cvar risk.factor risk.factor.factor risk.linalg risk.linalg.cholesky risk.linalg.pca risk.linalg.valid risk.model risk.sample risk.sample.sample

N

n (risk.cvar.CVar attribute) (risk.cvar.cvar.CVar attribute)

name (risk.bounds.Bounds attribute) num (risk.sample.sample.SampleCovariance attribute) (risk.sample.SampleCovariance attribute)

P

parameter (risk.Model attribute) (risk.model.Model attribute) PCA (class in risk.linalg.pca) pca() (in module risk.linalg) (in module risk.linalg.pca)

portfolio module portfolio.min_risk module

R

rand_cov() (in module random) (in module random.rand_cov) random module random.rand_cov module risk module risk.bounds module risk.cvar module risk.cvar.cvar module risk.factor module

risk.factor.factor module risk.linalg module risk.linalg.cholesky module risk.linalg.pca module risk.linalg.valid module risk.model module risk.sample module risk.sample.sample module

S

SampleCovariance (class in risk.sample) (class in risk.sample.sample)

systematic (risk.linalg.pca.PCA attribute)

U

update() (risk.bounds.Bounds method) (risk.cvar.CVar method) (risk.cvar.cvar.CVar method) (risk.factor.factor.FactorModel method) (risk.factor.FactorModel method) (risk.Model method) (risk.model.Model method) (risk.sample.sample.SampleCovariance method) (risk.sample.SampleCovariance method)

V

valid() (in module risk.linalg) (in module risk.linalg.valid)