cvxpy two logo cvxpy two: program

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Notes

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?