def test_one_max(self):
returns, cov_mat, avg_rets = create_test_data()
calc_weights = pfopt.max_ret_portfolio(avg_rets).values
exp_weights = [0.0, 0.0, 0.0, 1.0, 0.0]
self.assertTrue(np.allclose(calc_weights, exp_weights))
def test_one_max(self):
returns, cov_mat, avg_rets = create_test_data()
calc_weights = pfopt.max_ret_portfolio(avg_rets).values
exp_weights = [0.0, 0.0, 0.0, 1.0, 0.0]
self.assertTrue(np.allclose(calc_weights, exp_weights))
def test_three_max(self):
returns, cov_mat, avg_rets = create_test_data()
max_ret = avg_rets.max()
avg_rets[avg_rets.index[1]] = max_ret
avg_rets[avg_rets.index[2]] = max_ret
calc_weights = pfopt.max_ret_portfolio(avg_rets).values
exp_weights = [0.0, 1./3, 1./3, 1./3, 0.0]
self.assertTrue(np.allclose(calc_weights, exp_weights))
def test_three_max(self):
returns, cov_mat, avg_rets = create_test_data()
max_ret = avg_rets.max()
avg_rets[avg_rets.index[1]] = max_ret
avg_rets[avg_rets.index[2]] = max_ret
calc_weights = pfopt.max_ret_portfolio(avg_rets).values
exp_weights = [0.0, 1./3, 1./3, 1./3, 0.0]
self.assertTrue(np.allclose(calc_weights, exp_weights))
