Fix #277 Ch6 portfolio optimization equation

CamDavidsonPilon / Probabilistic-Programming-and-Bayesian-Methods-for-Hackers

aka "Bayesian Methods for Hackers": An introduction to Bayesian methods + probabilistic programming with a computation/understanding-first, mathematics-second point of view. All in pure Python ;)

http://camdavidsonpilon.github.io/Probabilistic-Programming-and-Bayesian-Methods-for-Hackers/

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Fix #277 Ch6 portfolio optimization equation #347

Closed rsvp closed 7 years ago

rsvp commented 7 years ago

Substitute "max" for "min".

If lambda = 1, then the objective function approximates the portfolio's geometric mean return, and that's something one should maximize with respect to the weights (which by construction should sum to 1).

Fix approved by owner: modified: Ch6_Priors_PyMC2.ipynb modified: Ch6_Priors_PyMC3.ipynb and these notebooks need to be in trusted state later.

CamDavidsonPilon commented 7 years ago

Terrific, thanks for the quick turnaround!