wealth_ts_ef

Rebalance.wealth_ts_ef(weights, ror)

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

Simple version without conditional rebalancing (abs_deviation and rel_deviation are not used). This method is used for efficient frontier optimization. Default rebalancing period is a Year (end of year). For not rebalanced portfolio set period to ‘none’.

Parameters:

weightslist of float

The target weights for assets in the portfolio.

rorpd.DataFrame

Assets rate of return monthly time series.

Returns:

pd.Series

Wealth index time series.