Minimize absolute deviation from volatility target - portfolio optimization - Python -


i have below portfolio optimization problem need specify in python (using cvxopt or other optimization package). unable figure out how specify problem containing absolute value in objective function. problem tries minimize difference between portfolio volatility , target volatility optimizing constituent weights. problem expressed below

     min |xtΣx – σ2target|      s.t.       1tx = 1     x >= 0

where Σ covariance matrix, , σtarget volatility target (5%, example)

how formulate above problem in python ? use cvxopt general qp-type problems.


Comments

Post a Comment

Popular posts from this blog

android - MPAndroidChart - How to add Annotations or images to the chart -

i working latest mpandroidchart library , looking way add annotations or images clickable. example: once data reaches value event occurs want able display user - there multiple events can occur annotations (not sure if right word) or image added @ point in chart. any pointers welcome. check documentation of yaxis . focus on setspacetop(...) , setaxismaxvalue(...) methods. for background: bar-shadow , disable calling: barchart.setdrawbarshadow(false) or change color: bardataset.setbarshadowcolor(int color)
Read more

javascript - Add class to another page attribute using URL id - Jquery -

i have attached id url. ex: when click link 1 , has #tab-2 id , takes me landing page. in landing page have find element has #tab-2 id have add class .active . i tried no luck. please 1 correct code. thanks js fiddle link html <div class="menu"> <ul> <li><a href="http://jsfiddle.net/gscyoa0j/1/#tab-2">link 1</a></li> <li><a href="http://jsfiddle.net/gscyoa0j/1/#tab-44">link 2</a></li> <li><a href="http://jsfiddle.net/gscyoa0j/1/#tab-74">link 3</a></li> </ul> </div> landing page <div class="tab"> <ul> <li><a id="tab-2" class="active" >link 1 content</a></li> <li><a id="tab-44" >link 2 content</a></li> <li><a id="tab-74" >link 3 content</a></l
Read more

firefox - Where is 'webgl.osmesalib' parameter? -

i'm trying webgl running on firefox (v37.0.2) via software acceleration mesa. tried following steps have been stated in article: http://www.binarytides.com/enable-webgl-firefox-ubuntu/ however, unable find parameter named ' webgl.osmesalib ' in about:config section? has been removed (or renamed)? if yes, how should instruct firefox use mesa's software acceleration webgl? looks support osmesa removed in favour llvmpipe.
Read more