model_cvx module

Created on Mon May 26 21:11:18 2014

@author: Ib Hansen

A good explanation of quadradic programming in cvxopt is in http://courses.csail.mit.edu/6.867/wiki/images/a/a7/Qp-cvxopt.pdf

This exampel calculates the efficient forntier in a small example the example is based on a mean variance model for Indonesian Rupia running in Excel

model_cvx.MV_test(lprint=True)

Test a mean variance model for Indonesian Rupia

model_cvx.mv_opt(PP, qq, riskaversion, bsum, weights, weigthtedsum, boundsmin, boundsmax, lprint=False, solget=None)

Performs mean variance optimization by calling a quadratic optimization function from the cvxopt library

model_cvx.mv_opt_bs(msigma, vreturn, riskaversion, budget, risk_weights, capital, lcr_weights, lcr, leverage_weights, equity, boundsmin, boundsmax, lprint=False, solget=None)

Performs balance sheet optimization using mean variance optimization

model_cvx.mv_opt_prop(PP, qq, riskaversion, bsum, weights, weigthtedsum, boundsmin, boundsmax, probability=None, lprint=False)

select a numner of assets/liabilities which. when the selection is feasible an Mean variance optimazation is performed

the selection is based on probabilities