def test_mean_variance_builder_with_none_unity_lambda(self):
er = np.array([0.01, 0.02, 0.03])
cov = np.array([[0.02, 0.01, 0.02], [0.01, 0.02, 0.03],
[0.02, 0.03, 0.02]])
ids_var = np.diag([0.01, 0.02, 0.03])
cov += ids_var
bm = np.array([0.3, 0.3, 0.4])
lbound = np.array([0., 0., 0.])
ubound = np.array([0.4, 0.4, 0.5])
risk_exposure = np.array([[1., 1., 1.], [1., 0., 1.]]).T
risk_target = (np.array([bm.sum(), 0.3]), np.array([bm.sum(), 0.7]))
model = dict(cov=cov,
factor_cov=None,
factor_loading=None,
idsync=None)
status, _, x = mean_variance_builder(er,
model,
bm,
lbound,
ubound,
risk_exposure,
risk_target,
lam=100)
self.assertTrue(status == 'optimal')
self.assertAlmostEqual(x.sum(), bm.sum())
self.assertTrue(np.all(x <= ubound + 1.e-6))
self.assertTrue(np.all(x >= lbound) - 1.e-6)
self.assertTrue(np.all(x @ risk_exposure <= risk_target[1] + 1.e-6))
self.assertTrue(np.all(x @ risk_exposure >= risk_target[0] - 1.e-6))
np.testing.assert_array_almost_equal(x, [0.2950, 0.3000, 0.4050])
def test_mean_variance_builder(self):
er = np.array([0.01, 0.02, 0.03])
cov = np.array([[0.02, 0.01, 0.02],
[0.01, 0.02, 0.03],
[0.02, 0.03, 0.02]])
ids_var = np.diag([0.01, 0.02, 0.03])
cov += ids_var
bm = np.array([0.3, 0.3, 0.4])
lbound = np.array([0., 0., 0.])
ubound = np.array([0.4, 0.4, 0.5])
risk_exposure = np.array([[1., 1., 1.],
[1., 0., 1.]]).T
risk_target = (np.array([bm.sum(), 0.3]), np.array([bm.sum(), 0.7]))
status, _, x = mean_variance_builder(er, cov, bm, lbound, ubound, risk_exposure, risk_target)
self.assertTrue(status == 'optimal')
self.assertAlmostEqual(x.sum(), bm.sum())
self.assertTrue(np.all(x <= ubound + 1.e-6))
self.assertTrue(np.all(x >= lbound) - 1.e-6)
self.assertTrue(np.all(x @ risk_exposure <= risk_target[1] + 1.e-6))
self.assertTrue(np.all(x @ risk_exposure >= risk_target[0] - 1.e-6))
np.testing.assert_array_almost_equal(x, [0.1, 0.4, 0.5])
def test_mean_variance_builder_without_constraints(self):
er = np.array([0.01, 0.02, 0.03])
cov = np.array([[0.02, 0.01, 0.02], [0.01, 0.02, 0.03],
[0.02, 0.03, 0.02]])
ids_var = np.diag([0.01, 0.02, 0.03])
cov += ids_var
bm = np.array([0., 0., 0.])
model = dict(cov=cov,
factor_cov=None,
factor_loading=None,
idsync=None)
status, _, x = mean_variance_builder(er,
model,
bm,
None,
None,
None,
None,
lam=1)
np.testing.assert_array_almost_equal(x, np.linalg.inv(cov) @ er)
def er_portfolio_analysis(
er: np.ndarray,
industry: np.ndarray,
dx_return: np.ndarray,
constraints: Optional[Union[LinearConstraints, Constraints]] = None,
detail_analysis=True,
benchmark: Optional[np.ndarray] = None,
is_tradable: Optional[np.ndarray] = None,
method='risk_neutral',
**kwargs) -> Tuple[pd.DataFrame, Optional[pd.DataFrame]]:
er = er.flatten()
def create_constraints(benchmark, **kwargs):
if 'lbound' in kwargs:
lbound = kwargs['lbound'].copy()
del kwargs['lbound']
else:
lbound = np.maximum(0., benchmark - 0.01)
if 'ubound' in kwargs:
ubound = kwargs['ubound'].copy()
del kwargs['ubound']
else:
ubound = 0.01 + benchmark
if is_tradable is not None:
ubound[~is_tradable] = np.minimum(lbound, ubound)[~is_tradable]
risk_lbound, risk_ubound = constraints.risk_targets()
cons_exp = constraints.risk_exp
return lbound, ubound, cons_exp, risk_lbound, risk_ubound
if method == 'risk_neutral':
lbound, ubound, cons_exp, risk_lbound, risk_ubound = create_constraints(
benchmark, **kwargs)
turn_over_target = kwargs.get('turn_over_target')
current_position = kwargs.get('current_position')
status, _, weights = linear_builder(er,
risk_constraints=cons_exp,
lbound=lbound,
ubound=ubound,
risk_target=(risk_lbound,
risk_ubound),
turn_over_target=turn_over_target,
current_position=current_position)
if status != 'optimal':
raise ValueError(
'linear programming optimizer in status: {0}'.format(status))
elif method == 'rank':
weights = rank_build(
er, use_rank=kwargs['use_rank'],
masks=is_tradable).flatten() * benchmark.sum() / kwargs['use_rank']
elif method == 'ls' or method == 'long_short':
weights = long_short_builder(er).flatten()
elif method == 'mv' or method == 'mean_variance':
lbound, ubound, cons_exp, risk_lbound, risk_ubound = create_constraints(
benchmark, **kwargs)
cov = kwargs['cov']
if 'lam' in kwargs:
lam = kwargs['lam']
else:
lam = 1.
status, _, weights = mean_variance_builder(er,
cov=cov,
bm=benchmark,
lbound=lbound,
ubound=ubound,
risk_exposure=cons_exp,
risk_target=(risk_lbound,
risk_ubound),
lam=lam)
if status != 'optimal':
raise ValueError(
'mean variance optimizer in status: {0}'.format(status))
elif method == 'tv' or method == 'target_vol':
lbound, ubound, cons_exp, risk_lbound, risk_ubound = create_constraints(
benchmark, **kwargs)
cov = kwargs['cov']
if 'target_vol' in kwargs:
target_vol = kwargs['target_vol']
else:
target_vol = 1.
status, _, weights = target_vol_builder(er,
cov=cov,
bm=benchmark,
lbound=lbound,
ubound=ubound,
risk_exposure=cons_exp,
risk_target=(risk_lbound,
risk_ubound),
vol_low=0,
vol_high=target_vol)
else:
raise ValueError("Unknown building type ({0})".format(method))
if detail_analysis:
analysis = simple_settle(weights, dx_return, industry, benchmark)
else:
analysis = None
return pd.DataFrame({'weight': weights,
'industry': industry,
'er': er}), \
analysis
