def portfolio_var(R,w):
cor = sp.corrcoef(R.T)
std_dev=sp.std(R,axis=0)
var = 0.0
for i in xrange(n):
for j in xrange(n):
var += w[i]*w[j]*std_dev[i]*std_dev[j]*cor[i, j]
return var
# function 3: estimate Sharpe ratio
c9_18_sharpe_ratio.py 文件源码
python
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