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])