G and h in Tangency portfolio function

czielinski / portfolioopt

Financial Portfolio Optimization Routines in Python

MIT License

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G and h in Tangency portfolio function #6

Open Michshelle opened 6 years ago

Michshelle commented 6 years ago

Hello Christian,

I've been looking at this repo for a while and got confused by the below comment in "_def tangencyportfolio", # exp_rets*x >= 1

I'm wondering why it should be the case, as I can only think about the expected return of the portfolio should be larger than risk free rate and it is much smaller than one.

Thanks,

Michelle