quantlab.portfolio.predefined.black_litterman.FactorReturnView#

class quantlab.portfolio.predefined.black_litterman.FactorReturnView(config)[source]#

Bases: ReturnView

The user’s view on one risk-model factor’s return, for BlackLittermanOptimizer.

A ReturnView on the factor factor (its name in the risk model): the view’s row is that factor’s unit vector, and a bar whose forecast lacks the factor leaves the view out.

Parameters:

configFactorReturnViewConfig: The factor, the view’s value and its uncertainty.

Raises:

ValueError: As ReturnView.

Examples

>>> from quantlab.portfolio.config import FactorReturnViewConfig
>>> view = FactorReturnView(FactorReturnViewConfig(factor="value", annual_return=0.02, std=0.01))
>>> view.row(("market", "value"), np.array([1.0, 0.2]))
array([0., 1.])
>>> view.row(("market",), np.array([1.0])) is None
True

config_cls#: alias of FactorReturnViewConfig

property risk_factors#

(factor,).

Examples

>>> view.risk_factors
('value',)

row(factor_names, market_exposures)[source]#

Return the view’s row on the factor returns: factor’s unit vector, None without it.

Examples

>>> view.row(("value", "market"), np.zeros(2))
array([1., 0.])