<p>如果你知道线性代数,有一个简单的函数来解决优化问题,任何库都应该支持它。不幸的是,我已经很久没有研究过它了,我不能告诉你公式和支持它的库,但是稍微研究一下就会发现它。重点是任何线性代数库都应该这样做。在</p>
<p>更新:</p>
<p>这是我发现的一篇文章的引述。在</p>
<blockquote>
<p>Some research says that "mean variance portfolio optimization" can
give good results. I discussed this in a message</p>
<p>To implement this approach, a needed input is the covariance matrix of
returns, which requires historical stock prices, which one can obtain
using "Python quote grabber" <a href="http://www.openvest.org/Databases/ovpyq" rel="nofollow">http://www.openvest.org/Databases/ovpyq</a> .</p>
<p>For expected returns -- hmmm. One of the papers I cited found that
assuming equal expected returns of all stocks can give reasonable
results.</p>
<p>Then one needs a "quadratic programming" solver, which appears to be
handled by the CVXOPT Python package.</p>
<p>If someone implements the approach in Python, I'd be happy to hear
about it.</p>
<p>There is a "backtest" package in R (open source stats package callable
from Python) <a href="http://cran.r-project.org/web/packages/backtest/index.html" rel="nofollow">http://cran.r-project.org/web/packages/backtest/index.html</a>
"for exploring portfolio-based hypotheses about financial instruments
(stocks, bonds, swaps, options, et cetera)."</p>
</blockquote>