pyepo.model.grb.portfolio¶

Portfolio problem

Attributes¶

Classes¶

portfolioModel

Gurobi-backed Markowitz portfolio.

Module Contents¶

class pyepo.model.grb.portfolio.portfolioModel(num_assets: int, covariance: numpy.ndarray, gamma: float = 2.25, *args, **kwargs)¶

Bases: pyepo.model.bases.portfolioBase, pyepo.model.grb.grbmodel.optGrbModel

Gurobi-backed Markowitz portfolio.

Variables:

_model (GurobiPy model) – Gurobi model
num_assets (int) – number of assets
covariance (numpy.ndarray) – covariance matrix of the returns
risk_level (float) – risk level

pyepo.model.grb.portfolio.optmodel¶