quantlab.portfolio.config.FactorRiskStoreEstimatorConfig#

class quantlab.portfolio.config.FactorRiskStoreEstimatorConfig(risk_model)[source]#

Config of FactorRiskStoreEstimator: the factor risk model whose stores it reads.

Examples

With use4 a Use4RiskModel whose estimate store is built:

>>> cfg = FactorRiskStoreEstimatorConfig(risk_model=use4)
>>> cfg.risk_model is use4
True

risk_model#: The factor risk model; its estimate store must cover the backtest.