simple markowitz model for portfolio optimization. More...
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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 |
simple markowitz model for portfolio optimization.
Definition in file markowitz_soco.py.
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.