tensorcircuit.applications.finance.portfolio#
Supplementary functions for portfolio optimization
- tensorcircuit.applications.finance.portfolio.QUBO_from_portfolio(cov: Any, mean: Any, q: float, B: int, t: float) Any [源代码]#
convert portfolio parameters to a Q matrix :param cov: n-by-n covariance numpy array :param mean: numpy array of means :param q: the risk preference of investor :param B: budget :param t: penalty factor :return Q: n-by-n symmetric Q matrix
- class tensorcircuit.applications.finance.portfolio.StockData(data: Any)[源代码]#
基类:
object
A class for converting real-world stock data to an annualized covariance matrix and annualized return.
Attributes: - data: A list of continuous stock data in the same time span. - n_stocks: The number of stocks in the data. - n_days: The number of trading days in the data.
Methods: - __init__(self, data): Initializes the StockData object. - get_return(self, decimals=5): Calculates the annualized return. - get_covariance(self, decimals=5): Calculates the annualized covariance matrix.
- __init__(data: Any)[源代码]#
Initializes the StockData object.
- 参数
data -- A list of continuous stock data in the same time span.