Python-量化投资（二）_bl模型 python代码

投资组合的收益与风险

投资组合的收益率为Rp为：

import numpy as np
import math
import matplotlib.pyplot as plt
def cal_mean(frac):
    return(0.08*frac+0.15*(1-frac))

mean=list(map(cal_mean,[x/50 for x in range(51)]))
sd_mat=np.array([list(map(lambda x: math.sqrt((x**2)*0.12**2+
((1-x)**2)*0.25**2+2*x*(1-x)*(-1.5+i*0.5)*0.12*0.25),[x/50 for x in range(51)])
) for i in range(1,6)])
#[expression for variable in sequence] list comprehension
plt.plot(sd_mat[0,:],mean,label='-1')
plt.plot(sd_mat[1,:],mean,label='-0.5')
plt.plot(sd_mat[2,:],mean,label='0')
plt.plot(sd_mat[3,:],mean,label='0.5')
plt.plot(sd_mat[4,:],mean,label='1')
plt.legend(loc='upper left')
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Markowitz均值-方差模型

利用Markowitz模型进行数量化的资产配置，用Python实现

import pandas as pd
stock=pd.read_table('stock.txt',sep='\t',index_col='Trddt')
stock.index=pd.to_datetime(stock.index)
fjgs = stock.loc[stock.Stkcd==600033,"Dretwd"]
fjgs.name="fjgs"
zndl=stock.loc[stock.Stkcd
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