Skip to content

A
alpha-mind
Commit 94f1faf8 authored by Dr.李's avatar Dr.李
Browse files
Options

added parameter lambda for mean variance builder

parent 8a67823d
Hide whitespace changes
Inline Side-by-side
Showing with 3 additions and 2 deletions
alphamind/portfolio/meanvariancebuilder.py
View file @ 94f1faf8
...@@ -20,7 +20,8 @@ def mean_variance_builder(er: np.ndarray, ...@@ -20,7 +20,8 @@ def mean_variance_builder(er: np.ndarray,
lbound: Union[np.ndarray, float], lbound: Union[np.ndarray, float],
ubound: Union[np.ndarray, float], ubound: Union[np.ndarray, float],
risk_exposure: np.ndarray, risk_exposure: np.ndarray,
risk_target: Tuple[np.ndarray, np.ndarray]): risk_target: Tuple[np.ndarray, np.ndarray],
lam: float=1.) -> Tuple[str, float, np.ndarray]:
lbound = lbound - bm lbound = lbound - bm
ubound = ubound - bm ubound = ubound - bm
...@@ -30,7 +31,7 @@ def mean_variance_builder(er: np.ndarray, ...@@ -30,7 +31,7 @@ def mean_variance_builder(er: np.ndarray,
# set up problem for net position # set up problem for net position
n = len(er) n = len(er)
P = matrix(cov) P = lam * matrix(cov)
q = -matrix(er) q = -matrix(er)
G1 = np.zeros((2*n, n)) G1 = np.zeros((2*n, n))
......
Markdown is supported
0% or
You are about to add 0 people to the discussion. Proceed with caution.
Finish editing this message first!
Please register or to comment