po6.py

po6.py

vol_limit = cp.Parameter(nonneg=True)

prob = cp.Problem(cp.Maximize(ret), 
                  [cp.norm1(w) <= 1.5,  # 1-norm <= 1.5, i.e. gross exposure < 150%
                   cp.sum(w) == 1,
                   vol <= vol_limit]
                 )

# define function so we can solve many in parallel
def solve_vl(vl_val):
    vol_limit.value = vl_val
    result = prob.solve()
    return (ret.value, np.sqrt(vol.value), w.value)

# number of points on the frontier
NPOINTS = 200
vl_vals = np.linspace(minvol, maxretvol, NPOINTS)

# iterate in-process
results_dict = {}
for vl_val in vl_vals:
    results_dict[vl_val] = solve_vl(vl_val)