Parameter q

[dbogatic]

Can you explain to me what is d in

port.assets_stats(method_mu=method_mu, method_cov=method_cov, d=0.94)

Thank you.

Dragan

[dcajasn]

All parameters are well explained in docs, but this d is for ewma estimators.

[dbogatic]

Yes, I did look over all of them and this one was missing. Could you explain what it does? I know what ewma is, just want to make sure I understant the input. If it is there and I missed it , I will go back and read again. Thank you for your help!

[dcajasn]

It's just the alpha factor in pandas ewm https://pandas.pydata.org/docs/reference/api/pandas.DataFrame.ewm.html. You must check parameters estimation documentation. In that section, I explain all input estimation techniques available in Riskfolio-Lib (ewma, shrinkage, worst case, black litterman, etc)

[dbogatic]

d (scalar) – The smoothing factor of ewma methods. The default is 0.94.

Found it...thank you!