skfolio.utils.stats.inverse_volatility_weights#
- skfolio.utils.stats.inverse_volatility_weights(covariance)[source]#
Inverse-volatility portfolio weights from a covariance matrix.
Computes weights proportional to the inverse standard deviation: \(w_i \propto 1/\sigma_i\), normalized to sum to 1.
- Parameters:
- covariancendarray of shape (n, n)
Covariance matrix.
- Returns:
- wndarray of shape (n,)
Normalized weights summing to 1.