Esempio n. 1
0
def effrontier(mu, S, sht, nameplot):
    cla = CLA(mu, S)
    fig = plt.figure(figsize=(8, 8))
    cla.max_sharpe()
    ax = cla.plot_efficient_frontier(showfig=False)
    fig = ax.get_figure()
    sht.pictures.add(fig, name=nameplot, update=True)
Esempio n. 2
0
 'PFE': 0.07786528342813454,
 'RRC': 0.03161528695094597,
 'SBUX': 0.039844436656239136,
 'SHLD': 0.027113184241298865,
 'T': 0.11138956508836476,
 'UAA': 0.02711590957075009,
 'WMT': 0.10569551148587905,
 'XOM': 0.11175337115721229}
"""


# Crticial Line Algorithm
cla = CLA(mu, S)
print(cla.max_sharpe())
cla.portfolio_performance(verbose=True)
cla.plot_efficient_frontier()  # to plot

"""
{'GOOG': 0.020889868669945022,
 'AAPL': 0.08867994115132602,
 'FB': 0.19417572932251745,
 'BABA': 0.10492386821217001,
 'AMZN': 0.0644908140418782,
 'GE': 0.0,
 'AMD': 0.0,
 'WMT': 0.0034898157701416382,
 'BAC': 0.0,
 'GM': 0.0,
 'T': 2.4138966206946562e-19,
 'UAA': 0.0,
 'SHLD': 0.0,