c9_18_sharpe_ratio.py 文件源码

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