format example
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import cvxpy as cp
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import numpy as np
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import pandas as pd
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@ -9,11 +8,9 @@ from pypfopt import (
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HRPOpt,
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black_litterman,
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expected_returns,
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objective_functions,
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plotting,
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risk_models,
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)
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from pypfopt.discrete_allocation import DiscreteAllocation, get_latest_prices
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# Reading in the data; preparing expected returns and a risk model
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df = pd.read_csv("tests/resources/stock_prices.csv", parse_dates=True, index_col="date")
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@ -25,7 +22,7 @@ S = risk_models.sample_cov(df)
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# Now try with a nonconvex objective from Kolm et al (2014)
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def deviation_risk_parity(w, cov_matrix):
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diff = w * np.dot(cov_matrix, w) - (w * np.dot(cov_matrix, w)).reshape(-1, 1)
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return (diff ** 2).sum().sum()
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return (diff**2).sum().sum()
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ef = EfficientFrontier(mu, S)
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