liquidrates

ffn.core.calc_erc_weights: Define lookback period for risk weights

2

is maximum_iterations the look back period for defining risk weights? default of 100 equal to last 100 days? ffn.core.calc_erc_weights(returns, initial_weights=None, risk_weights=None, covar_method='ledoit-wolf', risk_parity_method='ccd', maximum_iterations=100, tolerance=1e-08)