okama.EfficientFrontierReb.minimize_risk

EfficientFrontierReb.minimize_risk(target_value)

Calculate the portfolio properties to minimize annualized value of risk at the target CAGR.

Compound annual growth rate (CAGR) is the rate of return that would be required for an investment to grow from its initial to its final value, assuming all incomes were reinvested.

The objective function is Annualized risk (standard deviation) for rebalanced portfolio time series for the period from ‘first_date’ to ‘last_date’.

Returns:

dict

Weights of assets, CAGR, annualized risk.

Examples

>>> frontier = ok.EfficientFrontierReb(['SPY.US', 'AGG.US'])
>>> frontier.minimize_risk(0.107)
{'SPY.US': 0.9810857623382343, 'AGG.US': 0.018914237661765643, 'CAGR': 0.107, 'Risk': 0.1549703673806012}