po5.py

po5.py

vol_limit = cp.Parameter(nonneg=True)

prob = cp.Problem(cp.Maximize(ret),
                  [cp.sum(w) == 1, 
                   w >= 0,
                   vol <= vol_limit   # new constraint: vol <= vol_limit parameter
                  ]
                 )

# define helper function 
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 over vl_vals
results_dict = {}
for vl_val in vl_vals:
    results_dict[vl_val] = solve_vl(vl_val)