cvxpy two: program
When you invest in stocks you want to get a high return, but a low risk. There's also going to be a few constraints. That sounds like a job for cvxpy.
The program that will optimise everything is listed below;
df_returns = df_stocks.set_index('Date').diff() mean_stock = df_returns.mean().values cov_stock = df_returns.cov().values x = cp.Variable(len(mean_stock)) stock_return = mean_stock * x stock_risk = cp.quad_form(x, cov_stock) p = 1 objective = cp.Maximize(stock_return - p * stock_risk) prob = cp.Problem(objective=objective) prob.solve(), x.value
Can you spot the issue at the end of the video though?
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