高效投资组合优化算法

Question

我正在尝试根据回测数据为投资组合找到最佳配置。作为一般规则，我将股票分为大盘股和中小盘股以及成长股/价值股，并且不希望超过 80% 的大盘股投资组合或 70% 的价值投资组合。我需要一种足够灵活的算法，可以用于两只以上的股票。到目前为止，我所拥有的是（包括一个名为 Ticker 的随机类）：

randomBoolean=True
listOfTickers=[]
listOfLargeCaps=[]
listOfSmallMidCaps=[]
largeCapAllocation=0
listOfValue=[]
listOfGrowthBlend=[]
valueAllocation=0
while randomBoolean:
    tickerName=input("What is the name of the ticker?")
    tickerCap=input("What is the cap of the ticker?")
    tickerAllocation=int(input("Around how much do you want to allocate in this ticker?"))
    tickerValue=input("Is this ticker a Value, Growth, or Blend stock?")
    tickerName=Ticker(tickerCap,tickerValue,tickerAllocation,tickerName)
    listOfTickers.append(tickerName)
    closer=input("Type DONE if you are finished. Type ENTER to continue entering tickers")
    if closer=="DONE":
        randomBoolean=False

for ticker in listOfTickers:
    if ticker.cap==("Large" or "large"):
        listOfLargeCaps.append(ticker)
    else:
        listOfSmallMidCaps.append(ticker)
    if ticker.value==("Value" or "value"):
        listOfValue.append(ticker)
    else:
        listOfGrowthBlend.append(ticker)
for largeCap in listOfLargeCaps:
    largeCapAllocation +=largeCap.allocation

if largeCapAllocation>80:
    #run a function that will readjust ticker stuff and decrease allocation to large cap stocks
    

for value in listOfValue:
    valueAllocation+=value.allocation

if valueAllocation>70:
    #run a function that will readjust ticker stuff and decrease allocation to value stocks

到目前为止，我的“函数”只是以某种方式迭代 -5 到 6

for i in range (-5,6):
    ticker1AllocationPercent + i
    ticker2AllocationPercent - i
    #update the bestBalance if the new allocation is better

我将如何修改此算法以适用于 3、4、5 等股票，以及我将如何更改大/中小盘股等的分配？

Answer 1

如上述答案中所述，通常二次求解器用于此类问题。您可以使用 Pyportfolio 中提供的二次求解器。详情请见this link。