pyepo.model.grb.portfolio

Portfolio problem

Attributes

_HAS_GUROBI
optmodel

Classes

portfolioModel

This class is an optimization model for portfolio problem

Module Contents

pyepo.model.grb.portfolio._HAS_GUROBI = True

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

Bases: pyepo.model.grb.grbmodel.optGrbModel

This class is an optimization model for portfolio problem

_model

Gurobi model

Type:

GurobiPy 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

Returns:

risk level

Return type:

float

_getModel()

A method to build Gurobi model

Returns:

optimization model and variables

Return type:

tuple

pyepo.model.grb.portfolio.optmodel