skfolio.optimization.ObjectiveFunction

class skfolio.optimization.ObjectiveFunction(*values)

Enumeration of objective functions.

Attributes:

MINIMIZE_RISKstr

Minimize the risk measure.

MAXIMIZE_RETURNstr

Maximize the expected return.

MAXIMIZE_UTILITYstr

Maximize the utility \(w^T\mu - \lambda \times risk(w)\).

MAXIMIZE_RATIOstr

Maximize the ratio \(\frac{w^T\mu - R_{f}}{risk(w)}\).

classmethod has(value)

Check if a value is in the Enum.

Parameters:

valuestr

Input value.

Returns:

xbool

True if the value is in the Enum, False otherwise.