diff options
Diffstat (limited to 'python/optim_alloc.py')
| -rw-r--r-- | python/optim_alloc.py | 5 |
1 files changed, 3 insertions, 2 deletions
diff --git a/python/optim_alloc.py b/python/optim_alloc.py index eb663dd2..5db00df8 100644 --- a/python/optim_alloc.py +++ b/python/optim_alloc.py @@ -21,7 +21,7 @@ volHY = 0.4 rho = {'CLO': 0.9, 'CSO': 0.6, 'Subprime': 0.4} -delta = {'CLO': 1.5, +delta = {'CLO': 0.3, 'CSO': 0.4, 'Subprime': 1} @@ -31,7 +31,7 @@ Sigma = np.outer(u, u) + np.diag([resid_vol(rho[a], delta[a], volHY)**2 v = volHY**2 * np.array([1, delta['CLO'], delta['CSO'], delta['Subprime']]) Sigma = np.vstack((v, np.c_[v[1:], Sigma])) -mu = np.array([0.03, 0.07, 0.04, 0.15]) +mu = np.array([0.02, 0.07, 0.08, 0.25]) sharpe = mu/np.sqrt(np.diag(Sigma)) gamma = cvxpy.Parameter(sign='positive') @@ -62,6 +62,7 @@ ax1.set_ylabel('portfolio weights') ax1.text(0.3, 0.82, 'RMBS') ax1.text(0.5, 0.45, 'CSO') ax1.text(0.5, 0.15, 'CLO') +ax1.set_ylim([0, 1]) ax2 = ax1.twinx() ax2.plot(gamma_x, fund_vol, lw=1) ax2.set_ylabel('fund volatility') |