Objective terms

• Return models
  • ReturnsForecast
  • CashReturn
• Risk models
  • DiagonalCovariance
  • FullCovariance
  • FactorModelCovariance
  • WorstCaseRisk
  • FullSigma
  • FactorModel
• Forecast error models
  • ReturnsForecastError
  • RiskForecastError
• Cost models
  • HoldingCost
  • StocksHoldingCost
  • TransactionCost
  • StocksTransactionCost
  • SoftConstraint
  • TcostModel
  • HcostModel

Base classes (for defining your own objective terms)

class cvxportfolio.costs.Cost

Base class for cost objects (and also risks).

Here there is some logic used to implement the algebraic operations. See also CombinedCost.

class cvxportfolio.costs.SimulatorCost

Cost class that can be used by a MarketSimulator.