def test_weighted_mean():
means = np.array([1])
weights = np.array([1])
assert weighted_mean(means, weights) == 1
means = np.array(range(5))
weights = np.array(range(5, 10))
assert weighted_mean(means, weights) == 80
def comp_expected_return(self, freq=252):
"""Computes the Expected Return of the portfolio.
:Input:
:freq: ``int`` (default: ``252``), number of trading days, default
value corresponds to trading days in a year.
:Output:
:expected_return: ``float`` the Expected Return of the portfolio.
"""
if not isinstance(freq, int):
raise ValueError("freq is expected to be an integer.")
pf_return_means = historical_mean_return(self.data, freq=freq)
weights = self.comp_weights()
expected_return = weighted_mean(pf_return_means.values, weights)
self.expected_return = expected_return
return expected_return