pyepo.model.omo.portfolio
=========================

.. py:module:: pyepo.model.omo.portfolio

.. autoapi-nested-parse::

   Portfolio problem



Attributes
----------

.. autoapisummary::

   pyepo.model.omo.portfolio._HAS_PYOMO
   pyepo.model.omo.portfolio.optmodel


Classes
-------

.. autoapisummary::

   pyepo.model.omo.portfolio.portfolioModel


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

.. py:data:: _HAS_PYOMO
   :value: True


.. py:class:: portfolioModel(num_assets, covariance, gamma=2.25, solver='glpk')

   Bases: :py:obj:`pyepo.model.omo.omomodel.optOmoModel`


   This class is an optimization model for the portfolio problem

   .. attribute:: _model

      Pyomo model

      :type: Pyomo model

   .. attribute:: solver

      optimization solver in the background

      :type: str

   .. attribute:: num_assets

      number of assets

      :type: int

   .. attribute:: covariance

      covariance matrix of the returns

      :type: numpy.ndarray

   .. attribute:: risk_level

      risk level

      :type: float


   .. py:attribute:: num_assets


   .. py:attribute:: covariance


   .. py:attribute:: risk_level


   .. py:method:: _getRiskLevel(gamma)

      A method to calculate the risk level

      :param gamma: risk level parameter
      :type gamma: float

      :returns: risk level
      :rtype: float



   .. py:method:: _getModel()

      A method to build Pyomo model

      :returns: optimization model and variables
      :rtype: tuple



.. py:data:: optmodel