wealth_ts

Rebalance.wealth_ts(target_weights, ror, calculate_assets_wealth_indexes=False)

Calculate wealth index time series of rebalanced portfolio given returns time series of the assets.

Optionally calculate also ASSETS wealth indexes time series inside rebalanced portfolio.

Parameters:

target_weightslist of float

The target weights for assets in the portfolio.

rorpd.DataFrame

Assets rate of return monthly time series.

calculate_assets_wealth_indexesbool, optional

Whether or not to calculate assets wealth indexes after rebalancing. When ‘True’ works slower.

Returns:

Result

Result of rebalancing investment portfolio.