Brinson module
Project description
共包含四个模块:
Module 1: 基准数据和投资组合数据预处理函数(补全行业分类和个股收益率) Module 2: 计算基准和投资组合的权重和收益矩阵 Module 3: Brinson多期模型核心算法,计算投资组合相对基准的择时收益、选股收益和交互收益 Module 4: 主函数模块
-
总体输入:DF数据格式 input 1:基准数据(日期+代码+权重)index不指定 input 2:个股收益率和行业分类 input 3:持仓数据 持仓日期、股票代码、权重或者市值等可以计算出权重的数据(需要补全收益率和行业分类) index不指定 input 1和input3,结构一致用持仓(日期+代码+权重)作为输入。模块结合input2个股收益率,行业分类数据, 去帮用户计算基准和组合的行业权重及收益率
-
总体输出: output 1:基于交易日的 归因结果 DF
Project details
Release history Release notifications | RSS feed
Download files
Download the file for your platform. If you're not sure which to choose, learn more about installing packages.
Source Distribution
Built Distribution
Filter files by name, interpreter, ABI, and platform.
If you're not sure about the file name format, learn more about wheel file names.
Copy a direct link to the current filters
File details
Details for the file Brinson-api-1.0.1.tar.gz.
File metadata
- Download URL: Brinson-api-1.0.1.tar.gz
- Upload date:
- Size: 5.2 kB
- Tags: Source
- Uploaded using Trusted Publishing? No
- Uploaded via: twine/3.4.1 importlib_metadata/4.5.0 pkginfo/1.7.0 requests/2.25.1 requests-toolbelt/0.9.1 tqdm/4.61.1 CPython/3.6.13
File hashes
| Algorithm | Hash digest | |
|---|---|---|
| SHA256 |
7c996e52a77dea4cb34bad904b2aab3c2fdb3ce97ffc102bcacbc0877ecc636f
|
|
| MD5 |
160cc739615e500c01738631afac8d61
|
|
| BLAKE2b-256 |
8fcee1456070dcb4dbc2b56634dfacaa7031c684c5e77cad81f95e43a6941715
|
File details
Details for the file Brinson_api-1.0.1-py3-none-any.whl.
File metadata
- Download URL: Brinson_api-1.0.1-py3-none-any.whl
- Upload date:
- Size: 5.7 kB
- Tags: Python 3
- Uploaded using Trusted Publishing? No
- Uploaded via: twine/3.4.1 importlib_metadata/4.5.0 pkginfo/1.7.0 requests/2.25.1 requests-toolbelt/0.9.1 tqdm/4.61.1 CPython/3.6.13
File hashes
| Algorithm | Hash digest | |
|---|---|---|
| SHA256 |
211a999a6ddbc677ab22b55476a3f1554a7970488d13acd7834ad1214cb39ed8
|
|
| MD5 |
129b9d4f29eb71d912ef1ce0cf17119b
|
|
| BLAKE2b-256 |
53959883f8bd71b25bf49374c8d1fb4d6325f651e8cd9522f89bda9c6372faf7
|