Skip to content

Okama 1.1.0
Compare
Choose a tag to compare
@chilango74 chilango74 released this 12 Oct 14:47
· 426 commits to master since this release
v1.1.0
3e65897

Sharpe Ratio, Tangency portfolio and Capital Market Line (CML):

  • .get_sharpe_ratio() method is available in Portfolio and AssetList
  • .get_tangency_portfolio() method in EfficientFrontier to optimize allocation with Sharpe Ratio as objective function
  • .plot_cml() method in EfficientFrontier to plot the Capital Market Line (CML) and Maximum Sharpe Ratio (MSR) point with the Efficient Frontier

Refactoring:

  • .plot_assets() method is at ListMaker abstract class and is available from: AssetList, Portfolio, EfficientFrontier and EfficientFrontierReb
  • .plot_pair_ef() method is at EfficientFrontier
  • .plot_transition_map() is at EfficientFrontier
  • Plots class discontinued
Assets 2
Loading