August 2022
Intermediate to advanced
394 pages
12h 32m
Chinese
Content preview from 金融人工智能：用Python实现AI量化交易
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62
｜
第
3
章
预期波动率
预期收益率
图 3-1：模拟投资组合预期波动率和预期收益率（单一风险资产）
因为只有一种风险资产和一种无风险资产，所以机会集是一条直线。
In [48]: from pylab import plt, mpl
plt.style.use('seaborn')
mpl.rcParams['savefig.dpi'] = 300
mpl.rcParams['font.family'] = 'serif'
In [49]: phi_mcs = np.random.random((2, 200))
➊
In [50]: phi_mcs = (phi_mcs / phi_mcs.sum(axis=0)).T
➊
In [51]: mcs = np.array([(sigma_phi(phi), mu_phi(phi))
for phi in phi_mcs])
➋
In [52]: plt.figure(figsize=(10, 6))
plt.plot(mcs[:, 0], mcs[:, 1], 'ro')
plt.xlabel('expected volatility')
plt.ylabel('expected return');
➊
随机投资组合，标准化为
1
。
➋
随机组合的预期投资组合波动率与收益率。
现在设想一种有
3
种状态的静态经济模式
3
M
，其中
Ω
= {
u
,
m
,
d
}
。这
3
种状态的可能性
相等，即
111
, ,
333
P
=
。可交易资产集合是包括两个固定价格为 ...
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