Get Langrangian function including short-selling restriction
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I am making portfolios in Python. I want to have two scenarios's: one where short-selling is allowed and one were short-selling is not allowed. This I my utility function for some risk aversion parameter c:
U = wâ²ü â (c/2 wâ² 'variance matrix' w)
This quantity I intend to minimize under restrictions: Sum(wi) = 1 wi greater or equal to 0 (this is the no-short selling is allowed restriction).
I want to solve this via a Langragian function so that I can calculate the weights in my program in Python. But I do not know how my Langragian function looks like and how to solve it. Hope anyone can help!
functions
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up vote
0
down vote
favorite
I am making portfolios in Python. I want to have two scenarios's: one where short-selling is allowed and one were short-selling is not allowed. This I my utility function for some risk aversion parameter c:
U = wâ²ü â (c/2 wâ² 'variance matrix' w)
This quantity I intend to minimize under restrictions: Sum(wi) = 1 wi greater or equal to 0 (this is the no-short selling is allowed restriction).
I want to solve this via a Langragian function so that I can calculate the weights in my program in Python. But I do not know how my Langragian function looks like and how to solve it. Hope anyone can help!
functions
Welcome to MSE. For some basic information about writing mathematics at this site see, e.g., basic help on mathjax notation, mathjax tutorial and quick reference, main meta site math tutorial and equation editing how-to.
â José Carlos Santos
Sep 5 at 9:31
add a comment |Â
up vote
0
down vote
favorite
up vote
0
down vote
favorite
I am making portfolios in Python. I want to have two scenarios's: one where short-selling is allowed and one were short-selling is not allowed. This I my utility function for some risk aversion parameter c:
U = wâ²ü â (c/2 wâ² 'variance matrix' w)
This quantity I intend to minimize under restrictions: Sum(wi) = 1 wi greater or equal to 0 (this is the no-short selling is allowed restriction).
I want to solve this via a Langragian function so that I can calculate the weights in my program in Python. But I do not know how my Langragian function looks like and how to solve it. Hope anyone can help!
functions
I am making portfolios in Python. I want to have two scenarios's: one where short-selling is allowed and one were short-selling is not allowed. This I my utility function for some risk aversion parameter c:
U = wâ²ü â (c/2 wâ² 'variance matrix' w)
This quantity I intend to minimize under restrictions: Sum(wi) = 1 wi greater or equal to 0 (this is the no-short selling is allowed restriction).
I want to solve this via a Langragian function so that I can calculate the weights in my program in Python. But I do not know how my Langragian function looks like and how to solve it. Hope anyone can help!
functions
functions
asked Sep 5 at 9:27
user9891079
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1
Welcome to MSE. For some basic information about writing mathematics at this site see, e.g., basic help on mathjax notation, mathjax tutorial and quick reference, main meta site math tutorial and equation editing how-to.
â José Carlos Santos
Sep 5 at 9:31
add a comment |Â
Welcome to MSE. For some basic information about writing mathematics at this site see, e.g., basic help on mathjax notation, mathjax tutorial and quick reference, main meta site math tutorial and equation editing how-to.
â José Carlos Santos
Sep 5 at 9:31
Welcome to MSE. For some basic information about writing mathematics at this site see, e.g., basic help on mathjax notation, mathjax tutorial and quick reference, main meta site math tutorial and equation editing how-to.
â José Carlos Santos
Sep 5 at 9:31
Welcome to MSE. For some basic information about writing mathematics at this site see, e.g., basic help on mathjax notation, mathjax tutorial and quick reference, main meta site math tutorial and equation editing how-to.
â José Carlos Santos
Sep 5 at 9:31
add a comment |Â
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Welcome to MSE. For some basic information about writing mathematics at this site see, e.g., basic help on mathjax notation, mathjax tutorial and quick reference, main meta site math tutorial and equation editing how-to.
â José Carlos Santos
Sep 5 at 9:31