Python for Finance Cookbook

How to do it...

Execute the following steps to find the Efficient Frontier using optimization with scipy.

1. Import the libraries:

import numpy as npimport scipy.optimize as sco

2. Define functions for calculating portfolio returns and volatility:

def get_portf_rtn(w, avg_rtns):    return np.sum(avg_rtns * w)def get_portf_vol(w, avg_rtns, cov_mat):    return np.sqrt(np.dot(w.T, np.dot(cov_mat, w)))

3. Define the function calculating the Efficient Frontier:

def get_efficient_frontier(avg_rtns, cov_mat, rtns_range):        efficient_portfolios = []        n_assets = len(avg_returns)    args = (avg_returns, cov_mat)    bounds = tuple((0,1) for asset in range(n_assets))    initial_guess = n_assets * [1. / n_assets, ]        for ret in rtns_range: constraints = ({'type': 'eq',  ...