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Dr.李
alpha-mind
Commits
291d2135
Commit
291d2135
authored
May 07, 2017
by
Dr.李
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update example
parent
4e2a6b04
Changes
2
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2 changed files
with
490 additions
and
3465 deletions
+490
-3465
linearbuilder.py
alphamind/portfolio/linearbuilder.py
+1
-1
factor analysis.ipynb
notebooks/factor analysis.ipynb
+489
-3464
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alphamind/portfolio/linearbuilder.py
View file @
291d2135
...
...
@@ -51,7 +51,7 @@ if __name__ == '__main__':
bm
=
np
.
ones
(
300
)
*
0.00333333333
risk_exposure
=
np
.
random
.
randn
(
300
,
10
)
s
,
v
,
x
=
linear_build
(
er
,
0.
,
0.01
,
risk_exposure
,
bm
,
[
-
0.01
*
np
.
ones
(
10
),
0.01
*
np
.
ones
(
10
)]
)
s
,
v
,
x
=
linear_build
(
er
,
0.
,
0.01
,
risk_exposure
,
bm
,
(
-
0.01
*
np
.
ones
(
10
),
0.01
*
np
.
ones
(
10
))
)
print
(
s
)
print
(
x
.
sum
())
print
(
x
.
min
(),
','
,
x
.
max
())
...
...
notebooks/factor analysis.ipynb
View file @
291d2135
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