Python实现马科维茨有效边界

Python实现马科维茨有效边界

参考文章

1. https://mp.weixin.qq.com/s/neCSaWK0c4jzWwCfDVFA6A
2. https://mp.weixin.qq.com/s/2X_VCZwv8EX4S48wAeL0AQ

导入包

import pandas as pd
import numpy as np
import matplotlib.pyplot as plt
import tushare as ts
import scipy.optimize as sco

获取股票数据

原文章中是用美股数据实现的，我试着用沪深的数据实现一下，通过tuhsare来获取选定股票的日收益率。我挑了5只股票：贵州茅台（600519）、格力电器（000651）、万科A（000002）、中国平安（601318）、中国石油（601857）

df = pd.DataFrame()
df = ts.get_hist_data('600519', start='2015-01-05', end='2018-12-28') 
s600519 = df['p_change']
s600519.name = '600519'

df = pd.DataFrame()
df = ts.get_hist_data('000651', start='2015-01-05', end='2018-12-28') 
s000651 = df['p_change']
s000651.name = '000651'

df = pd.DataFrame()
df = ts.get_hist_data('000002', start='2015-01-05', end='2018-12-28') 
s000002 = df['p_change']
s000002.name = '000002'

df = pd.DataFrame()
df = ts.get_hist_data('601318', start='2015-01-05', end='2018-12-28') 
s601318 = df['p_change']
s601318.name = '601318'

df = pd.DataFrame()
df = ts.get_hist_data('601857', start='2015-01-05', end='2018-12-28') 
s601857 = df['p_change']
s601857.name = '601857'

data = pd.DataFrame({
   '600519':s600519,'000651':s000651,'000002':s000002, '601318':s601318,'601857':s601857})
data = data.dropna()

计算年化收益率和协方差矩阵（以一年252个交易日计算）

returns_annual = data.mean() * 252
cov_annual = data.cov() * 252

模拟投资组合

为了得到有效边界，我们模拟了50000个投资组合

number_assets