okama.EfficientFrontierReb.target_risk_range

property EfficientFrontierReb.target_risk_range

Calculate range of annualized risk values (from min risk to max risk).

The number of values in the range is defined by ‘n_points’. The risk is defined as standard deviation of monthly rate or returns time series.

Returns:

numpy.ndarray

Annualized risk values (from min risk to max risk)

Examples

>>> frontier = ok.EfficientFrontierReb(['SPY.US', 'AGG.US'])
>>> frontier.target_risk_range
array([0.03695845, 0.04334491, 0.04973137, 0.05611783, 0.06250429,
       0.06889075, 0.07527721, 0.08166367, 0.08805012, 0.09443658,
       0.10082304, 0.1072095 , 0.11359596, 0.11998242, 0.12636888,
       0.13275534, 0.1391418 , 0.14552826, 0.15191472, 0.15830117])