pyepo.model.copt.portfolio

Portfolio problem

Attributes

optmodel

Classes

portfolioModel

This class is an optimization model for the portfolio problem

Module Contents

class pyepo.model.copt.portfolio.portfolioModel(num_assets, covariance, gamma=2.25)

Bases: pyepo.model.copt.coptmodel.optCoptModel

This class is an optimization model for the portfolio problem

_model

COPT model

Type:

COPT model

num_assets

number of assets

Type:

int

covariance

covariance matrix of the returns

Type:

numpy.ndarray

risk_level

risk level

Type:

float

num_assets

covariance

risk_level

_getRiskLevel(gamma)

A method to calculate the risk level

Parameters:

gamma (float) – risk level parameter

Returns:

risk level

Return type:

float

_getModel()

A method to build COPT model

Returns:

optimization model and variables

Return type:

tuple

pyepo.model.copt.portfolio.optmodel