okama.EfficientFrontier.gmv_monthly

property EfficientFrontier.gmv_monthly

Calculate the monthly risk and return of the Global Minimum Volatility (GMV) portfolio within given bounds.

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.

In Mean-Variance optimization risk is defined as a standard deviation of return time series.

Bounds are defined with ‘bounds’ property.

Returns:

tuple

risk, return monthly values for GMV portfolio.

Examples

>>> ef = ok.EfficientFrontier(['SPY.US', 'AGG.US', 'GLD.US'])
>>> ef.gmv_monthly
(0.01024946425526032, 0.0036740056018316597)