pyepo.model.omo.portfolio¶

Portfolio problem

Attributes¶

Classes¶

portfolioModel

Pyomo-backed Markowitz portfolio.

Module Contents¶

class pyepo.model.omo.portfolio.portfolioModel(num_assets: int, covariance: numpy.ndarray, gamma: float = 2.25, solver: str = 'glpk')¶

Bases: pyepo.model.bases.portfolioBase, pyepo.model.omo.omomodel.optOmoModel

Pyomo-backed Markowitz portfolio.

Variables:

_model (Pyomo model) – Pyomo model
solver (str) – optimization solver in the background
num_assets (int) – number of assets
covariance (numpy.ndarray) – covariance matrix of the returns
risk_level (float) – risk level

pyepo.model.omo.portfolio.optmodel¶