optimiz.py 文件源码

def evaluate_portefolio(wei, returns_vec):
    """ Given a repartition, compute expected return and risk from a portefolio

    :param wei: Weights for each currency
    :type wei: ndarray of float
    :return: expected return and risk
    :rtype: (float, float)
    """
    p = np.asmatrix(np.mean(returns_vec, axis=1))
    w = np.asmatrix(wei)
    c = np.asmatrix(np.cov(returns_vec))
    mu = w * p.T
    sigma = np.sqrt(w * c * w.T)
    return mu, sigma