okama.EfficientFrontierReb.gmv_annual_weights

property EfficientFrontierReb.gmv_annual_weights

Calculate asset weights of the Global Minimum Volatility (GMV) portfolio. The objective function is annualized 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.EfficientFrontierReb(['SPY.US', 'AGG.US'])
>>> frontier.gmv_monthly_weights
array([0.05373824, 0.94626176])