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))