python 组合优化_利用python-scipy优化sharpe比率的投资组合优化.最小化

我试图优化一个投资组合夏普比率和以下是我的代码import pandas as pd

import os

import matplotlib.pyplot as plt

import numpy as np

import scipy.optimize as spo

def get_path(sym, base_dir = "data"):

cwd = os.getcwd()

path = os.path.join(cwd, base_dir, sym)

return path

def prepare_data(files, dates):

"""Read stock data (adjusted close) for given symbols from CSV files."""

dfstocks = pd.DataFrame(index=dates)

if 'NIFTY.csv' not in files:

files.insert(0, 'NIFTY.csv')

for f in files:

# TODO: Read and join data for each symbol

files_path = get_path(f)

df_temp = pd.read_csv(files_path, index_col = "Date",

parse_dates = True,

usecols = ['Date', 'Close Price'])

df_temp = df_temp.rename(columns &#