Index

A

ACF() (in module quant_risk.statistics.tests), [1] annualised_returns() (in module quant_risk.statistics.annualize), [1]

annualised_volatility() (in module quant_risk.statistics.annualize), [1] auto_arima() (in module quant_risk.models.time_series), [1]

C

calculate_kurtosis() (in module quant_risk.statistics.stats) calculate_skewness() (in module quant_risk.statistics.stats) calmar_ratio() (in module quant_risk.statistics.financial_ratios), [1]

conditional_value_at_risk() (in module quant_risk.statistics.VaR), [1] covariance_shrinkage() (in module quant_risk.statistics.stats) cumulative_returns() (in module quant_risk.statistics.stats)

E

elton_gruber_covariance() (in module quant_risk.statistics.stats)

F

fit() (quant_risk.portfolio.mean_variance.MeanVariance method)

G

get_portfolio() (quant_risk.portfolio.regime_signal.RegimeSignalModel method) get_weights() (quant_risk.portfolio.regime_signal.RegimeSignalModel method) getCovarianceMatrix() (quant_risk.portfolio.mean_variance.MeanVariance method) getExpectedReturns() (quant_risk.portfolio.mean_variance.MeanVariance method)

getHistoricalPrices() (quant_risk.portfolio.mean_variance.MeanVariance method) getRiskFreeRate() (quant_risk.portfolio.mean_variance.MeanVariance method) granger_causality() (in module quant_risk.statistics.tests), [1] granger_causality_matrix() (in module quant_risk.statistics.tests), [1]

H

hurst_exponent() (in module quant_risk.statistics.tests), [1]

I

is_stable() (in module quant_risk.statistics.stats)

M

maximum_drawdown() (in module quant_risk.statistics.stats) MeanVariance (class in quant_risk.portfolio.mean_variance) module quant_risk.models.regression, [1] quant_risk.models.time_series, [1] quant_risk.portfolio.mean_variance quant_risk.portfolio.regime_signal quant_risk.portfolio.risk_parity quant_risk.statistics quant_risk.statistics.annualize, [1] quant_risk.statistics.financial_ratios, [1] quant_risk.statistics.stats quant_risk.statistics.summarize, [1] quant_risk.statistics.tests, [1] quant_risk.statistics.VaR, [1]

O

omega_ratio() (in module quant_risk.statistics.financial_ratios), [1]

P

PACF() (in module quant_risk.statistics.tests), [1]

print_summary() (in module quant_risk.statistics.summarize), [1]

Q

quant_risk.models.regression module, [1] quant_risk.models.time_series module, [1] quant_risk.portfolio.mean_variance module quant_risk.portfolio.regime_signal module quant_risk.portfolio.risk_parity module quant_risk.statistics module

quant_risk.statistics.annualize module, [1] quant_risk.statistics.financial_ratios module, [1] quant_risk.statistics.stats module quant_risk.statistics.summarize module, [1] quant_risk.statistics.tests module, [1] quant_risk.statistics.VaR module, [1]

R

RegimeSignalModel (class in quant_risk.portfolio.regime_signal) regress() (in module quant_risk.models.regression), [1]

risk_contribution() (in module quant_risk.statistics.stats) risk_parity_portfolio() (in module quant_risk.portfolio.risk_parity)

S

sharpe_ratio() (in module quant_risk.statistics.financial_ratios), [1] sortino_ratio() (in module quant_risk.statistics.financial_ratios), [1]

stationary_test_adf() (in module quant_risk.statistics.tests), [1] stats() (quant_risk.portfolio.mean_variance.MeanVariance method)

T

tail_ratio() (in module quant_risk.statistics.financial_ratios), [1]

target_risk_contribution() (in module quant_risk.portfolio.risk_parity)

V

value_at_risk() (in module quant_risk.statistics.VaR), [1]