原代码:
prets = np.dot(weights, log_returns.mean()) * 252
# 计算年化风险,diag是获取对角线的数据
pvols = np.diag(
np.sqrt(np.dot(weights, np.dot(log_returns.cov() * 252, weights.T))))
# 简单建立一个函数将收益率、波动率、夏普率封装起来
改后:
prets = np.dot(weights, log_returns.mean()) * 252
# 计算年化风险,diag是获取对角线的数据
pvols = np.diag(
np.sqrt(np.dot(weights, np.dot(np.cov(log_returns) * 252, weights.T))))
# 简单建立一个函数将收益率、波动率、夏普率封装起来