quantlab.portfolio.predefined.factor_risk#
A covariance estimator turning a factor risk model’s context into its forecast: B F B' + diag(D) at each bar.
FactorRiskStoreEstimator estimates nothing itself (ADR 0024) and reads
nothing itself: the decision inputs put the bar’s row of the model’s
estimate store (the factor covariance F and the specific risks,
context.risk_estimate) and the bar’s exposures as the model gives them
(context.risk_exposures) in the context, and the estimator returns the
model’s forecast from both (FactorRiskModel.forecast, a
FactorRiskForecast), which the mean-variance optimiser turns into a
low-rank risk term.
Classes
The covariance at a bar from a factor risk model's estimate store. |