基于风险平价的资产配置策略

代码如下：

####### step1
import pandas as pd
import numpy as np
import matplotlib.pyplot as plt
from sklearn.preprocessing import StandardScaler
from scipy.optimize import minimize


# 读取收盘价数据
def read_data(file):
    s="C:/Users\Anita\Desktop"
    file_address=s+file
    df= pd.read_excel(file_address,sheetname="data") 
    # 保证金比例
    marginal_cost=[0.15,0.3,0.02,0.15,1,1]
    # 删除前两行说明行
    df.drop(0,inplace=True)
    df.drop(1,inplace=True)
    # 删除最后一行2018年的3月数据
    df.drop(1497,inplace=True)
    # 把日期列设置为索引
    df.set_index('Date',inplace=True)
    # 缺失值检验：没有缺失值
    df.isnull().any()  
    # 把日数据转换为月数据
    period_type = 'M'
    __df= df.resample(period_type).last()
    monthly_df=pd.concat([df.iloc[0,0::].T,__df.T],axis=1).T
    return monthly_df

# 计算对数收益率
def calculate_log_return(file):
    data=read_data(file)
    variable_list=['IF00.CFE','IC00.CFE','TF00.CFE','AU00.SHF','159920.OF','511880.SH']
    for j in variable_list:
        data['return_'+str(j)]=0.0
        for i in range(1,len(data)):
            data['return_'+str(j)][i]=np.log(float(data[j][i])/float(data[j][i-1]))
    return data.iloc[1::,0::]


# 将收益率进行标准化处理，形成新的表格std_data
def standardlize_process(file):
    data=calculate_log_return(file)
    scaler=StandardScaler()
    scaler.fit(data)
    column_list=['IF00.CFE','IC00.CFE','TF00.CFE','AU00.SHF','159920.OF','511880.SH','return_IF00.CFE','return_IC00.CFE','return_TF00.CFE','return_AU00.SHF','return_159920.OF','return_511880.SH']
    std_data=pd.Dat