markowitz_soco.py File Reference

simple markowitz model for portfolio optimization. More...

Go to the source code of this file.

Functions
def	markowitz (I, sigma, r, alpha)

Variables
	I
	sigma
	r
float	alpha = 1.05
	model = markowitz(I,sigma,r,alpha)
	x = model.data
int	EPS = 1

Detailed Description

simple markowitz model for portfolio optimization.

Definition in file markowitz_soco.py.

Function Documentation

def markowitz_soco.markowitz	(		I,
			sigma,
			r,
			alpha
	)

markowitz -- simple markowitz model for portfolio optimization.
Parameters:
    - I: set of items
    - sigma[i]: standard deviation of item i
    - r[i]: revenue of item i
    - alpha: acceptance threshold
Returns a model, ready to be solved.

Definition at line 10 of file markowitz_soco.py.