gmv_monthly_weights

property EfficientFrontier.gmv_monthly_weights

Calculate asset weights of the Global Minimum Volatility (GMV) portfolio. The objective function is monthly risk (standard deviation of return).

Global Minimum Volatility portfolio is a portfolio with the lowest risk of all possible. Along the Efficient Frontier, the left-most point is a portfolio with minimum risk when compared to all possible portfolios of risky assets.

Returns:

numpy.ndarray

GMV portfolio assets weights.

Examples

>>> frontier = ok.EfficientFrontier(["SPY.US", "AGG.US"])
>>> frontier.gmv_monthly_weights
array([0.0578446, 0.9421554])