Index

A

all_cash_reason (keeks.allocation.base.AllocationResult attribute)

AllocationResult (class in keeks.allocation.base) AllocationSimulator (class in keeks.allocation.simulators)

B

bankroll_paths() (in module keeks.allocation.plots) BaseAllocationStrategy (class in keeks.allocation.base) BaseMultiOutcomeStrategy (class in keeks.multi_outcome.base)

BaseStrategy (class in keeks.binary_strategies.base) binary_bets_model() (in module keeks.allocation.models) BinaryBetsModel (class in keeks.allocation.models) black_litterman_mean() (in module keeks.allocation.estimators)

C

calculate_max_entry_price() (keeks.binary_strategies.base.BaseStrategy method) (keeks.binary_strategies.kelly.DrawdownAdjustedKelly method) (keeks.binary_strategies.kelly.FractionalKellyCriterion method) (keeks.binary_strategies.kelly.KellyCriterion method) (keeks.binary_strategies.simple.CPPIStrategy method) (keeks.binary_strategies.simple.DynamicBankrollManagement method) (keeks.binary_strategies.simple.FixedFractionStrategy method) (keeks.binary_strategies.simple.MertonShare method) (keeks.binary_strategies.simple.NaiveStrategy method) (keeks.binary_strategies.simple.OptimalF method)

check_allocation_strategy() (in module keeks.checks) check_model() (in module keeks.checks) check_strategy() (in module keeks.checks) converged (keeks.allocation.base.AllocationResult attribute) correlation_heatmap() (in module keeks.allocation.plots) CPPIStrategy (class in keeks.binary_strategies.simple) crra_utility() (in module keeks.utils)

D

dendrogram() (in module keeks.allocation.plots) drawdown_history() (in module keeks.allocation.plots)

DrawdownAdjustedKelly (class in keeks.binary_strategies.kelly) DynamicBankrollManagement (class in keeks.binary_strategies.simple)

E

efficient_frontier() (in module keeks.allocation.plots) estimate_moments() (in module keeks.allocation.models) evaluate() (keeks.allocation.base.BaseAllocationStrategy method) (keeks.allocation.hierarchical.HierarchicalRiskParity method) (keeks.allocation.moments.GlobalMinimumVariance method) (keeks.allocation.moments.MaximumDiversification method) (keeks.allocation.moments.MaximumSharpe method) (keeks.allocation.moments.MeanVariance method) (keeks.allocation.moments.RiskAversionScaling method) (keeks.allocation.moments.RiskBudgeting method) (keeks.allocation.scenarios.MeanCVaR method) (keeks.binary_strategies.base.BaseStrategy method) (keeks.binary_strategies.kelly.DrawdownAdjustedKelly method) (keeks.binary_strategies.kelly.FractionalKellyCriterion method) (keeks.binary_strategies.kelly.KellyCriterion method) (keeks.binary_strategies.simple.CPPIStrategy method) (keeks.binary_strategies.simple.DynamicBankrollManagement method) (keeks.binary_strategies.simple.FixedFractionStrategy method) (keeks.binary_strategies.simple.MertonShare method) (keeks.binary_strategies.simple.NaiveStrategy method) (keeks.binary_strategies.simple.OptimalF method) (keeks.multi_outcome.base.BaseMultiOutcomeStrategy method) (keeks.multi_outcome.kelly.MultiOutcomeKellyCriterion method)

evaluate_strategy() (keeks.allocation.simulators.AllocationSimulator method) (keeks.multi_outcome.simulators.PortfolioSimulator method) (keeks.multi_outcome.simulators.RepeatedMultiOutcomeSimulator method) (keeks.simulators.random_binary.RandomBinarySimulator method) (keeks.simulators.random_uncertain_binary.RandomUncertainBinarySimulator method) (keeks.simulators.repeated_binary.RepeatedBinarySimulator method) expected_growth (keeks.allocation.base.AllocationResult attribute) expected_utility() (in module keeks.utils) ExponentialGradient (class in keeks.allocation.online)

F

find_indifference_price() (in module keeks.utils) fit_marginals_model() (in module keeks.allocation.models) FixedFractionStrategy (class in keeks.binary_strategies.simple)

FixedWeights (class in keeks.allocation.online) FractionalKellyCriterion (class in keeks.binary_strategies.kelly) from_model() (keeks.allocation.models.ModelInputMixin class method) (keeks.allocation.scenarios.MeanCVaR class method)

G

get_drawdown_factor() (keeks.binary_strategies.simple.DynamicBankrollManagement method) get_max_safe_bet() (keeks.binary_strategies.base.BaseStrategy method) get_max_safe_total_bet() (keeks.multi_outcome.base.BaseMultiOutcomeStrategy method)

get_probability_factor() (keeks.binary_strategies.simple.DynamicBankrollManagement method) get_streak_factor() (keeks.binary_strategies.simple.DynamicBankrollManagement method) get_volatility_factor() (keeks.binary_strategies.simple.DynamicBankrollManagement method) GlobalMinimumVariance (class in keeks.allocation.moments)

H

HierarchicalRiskParity (class in keeks.allocation.hierarchical)

I

iterations (keeks.allocation.base.AllocationResult attribute)

J

JointReturnModel (class in keeks.allocation.models)

K

keeks.checks module

keeks.utils module KellyCriterion (class in keeks.binary_strategies.kelly)

M

MarginalModel (class in keeks.allocation.models) marginals_model() (in module keeks.allocation.models) MaximumDiversification (class in keeks.allocation.moments) MaximumSharpe (class in keeks.allocation.moments) MeanCVaR (class in keeks.allocation.scenarios) MeanVariance (class in keeks.allocation.moments) MertonShare (class in keeks.binary_strategies.simple) ModelInputMixin (class in keeks.allocation.models)

module keeks.checks keeks.utils moments() (keeks.allocation.models.BinaryBetsModel method) (keeks.allocation.models.JointReturnModel method) (keeks.allocation.models.MarginalModel method) (keeks.allocation.models.ScenarioModel method) MultiOutcomeKellyCriterion (class in keeks.multi_outcome.kelly)

N

NaiveStrategy (class in keeks.binary_strategies.simple)

O

objective (keeks.allocation.base.AllocationResult attribute) OnlineNewtonStep (class in keeks.allocation.online) OptimalF (class in keeks.binary_strategies.simple) optimize() (keeks.allocation.hierarchical.HierarchicalRiskParity method) (keeks.allocation.moments.GlobalMinimumVariance method) (keeks.allocation.moments.MaximumDiversification method) (keeks.allocation.moments.MaximumSharpe method) (keeks.allocation.moments.MeanVariance method) (keeks.allocation.moments.RiskAversionScaling method) (keeks.allocation.moments.RiskBudgeting method) (keeks.allocation.scenarios.MeanCVaR method)

P

PortfolioSimulator (class in keeks.multi_outcome.simulators)

R

RandomBinarySimulator (class in keeks.simulators.random_binary) RandomUncertainBinarySimulator (class in keeks.simulators.random_uncertain_binary) record_settlement() (keeks.allocation.online.ExponentialGradient method) (keeks.allocation.online.FixedWeights method) (keeks.allocation.online.OnlineNewtonStep method) (keeks.binary_strategies.simple.DynamicBankrollManagement method)

RepeatedBinarySimulator (class in keeks.simulators.repeated_binary) RepeatedMultiOutcomeSimulator (class in keeks.multi_outcome.simulators) risk_contributions() (in module keeks.allocation.plots) RiskAversionScaling (class in keeks.allocation.moments) RiskBudgeting (class in keeks.allocation.moments) RuinError

S

sample() (keeks.allocation.models.BinaryBetsModel method) (keeks.allocation.models.JointReturnModel method) (keeks.allocation.models.MarginalModel method) (keeks.allocation.models.ScenarioModel method)

scenario_losses() (in module keeks.allocation.plots) scenario_model() (in module keeks.allocation.models) ScenarioModel (class in keeks.allocation.models) scenarios_to_moments() (in module keeks.allocation.scenarios) shrink_covariance() (in module keeks.allocation.estimators)

U

update_bankroll() (keeks.binary_strategies.simple.CPPIStrategy method)

V

validate_probabilities() (in module keeks.utils)

volatility (keeks.allocation.base.AllocationResult attribute)

W

weight_evolution() (in module keeks.allocation.plots)

weights (keeks.allocation.base.AllocationResult attribute) weights_ (keeks.allocation.base.BaseAllocationStrategy property)