markowitz_soco Namespace Reference

Functions
def	markowitz (I, sigma, r, alpha)

Variables
float	alpha = 1.05
int	EPS = 1.e-6
	I
def	model = markowitz(I,sigma,r,alpha)
	r
	sigma
def	x = model.data

Function Documentation

markowitz()

def markowitz_soco.markowitz	(		I,
			sigma,
			r,
			alpha
	)

markowitz -- simple markowitz model for portfolio optimization.
Parameters:
    - I: set of items
    - sigma[i]: standard deviation of item i
    - r[i]: revenue of item i
    - alpha: acceptance threshold
Returns a model, ready to be solved.

Definition at line 10 of file markowitz_soco.py.

References pyscipopt.expr.quicksum().

Variable Documentation

alpha

float alpha = 1.05

Definition at line 48 of file markowitz_soco.py.

EPS

int EPS = 1.e-6

Definition at line 54 of file markowitz_soco.py.

I

I

Definition at line 41 of file markowitz_soco.py.

model

def model = markowitz(I,sigma,r,alpha)

Definition at line 50 of file markowitz_soco.py.

r

r

Definition at line 41 of file markowitz_soco.py.

sigma

sigma

Definition at line 41 of file markowitz_soco.py.

x

def x = model.data

Definition at line 53 of file markowitz_soco.py.