pyepo.model.grb.portfolio
=========================

.. py:module:: pyepo.model.grb.portfolio

.. autoapi-nested-parse::

   Portfolio problem



Classes
-------

.. autoapisummary::

   pyepo.model.grb.portfolio.portfolioModel


Module Contents
---------------

.. py:class:: portfolioModel(num_assets: int, covariance: numpy.ndarray, gamma: float = 2.25, *args, **kwargs)

   Bases: :py:obj:`pyepo.model.bases.portfolioBase`, :py:obj:`pyepo.model.grb.grbmodel.optGrbModel`


   Gurobi-backed Markowitz portfolio.

   :ivar _model: Gurobi model
   :vartype _model: GurobiPy model
   :ivar num_assets: number of assets
   :vartype num_assets: int
   :ivar covariance: covariance matrix of the returns
   :vartype covariance: numpy.ndarray
   :ivar risk_level: risk level

   :vartype risk_level: float