okama.EfficientFrontier.gmv_weights
- property EfficientFrontier.gmv_weights
Calculate asset weights 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:
- numpy.ndarray
GMV portfolio assets weights.
Examples
>>> two_assets = ok.EfficientFrontier(['SPY.US', 'AGG.US']) >>> two_assets.gmv_weights array([0.05474178, 0.94525822])