Hi, I tried both efficient_return and efficient_risk function when generating optimal portfolio.
I noticed that, efficient_return doesn't generate optimal portfolio compared to efficient_risk.
e.g. I tried to get a portfolio at 7% return target using efficient_return, and it gave me a portfolio with 6% as volatility. But when I tried to get a portfolio at 5.5% volatility using efficient_risk, it gave me a portfolio with 7% return. For the same constraints, this would suggest efficient_return cannot find portfolios with the minimum volatility. Do you have insight on what might cause this? Thank you.
Hi, I tried both
efficient_returnandefficient_riskfunction when generating optimal portfolio. I noticed that,efficient_returndoesn't generate optimal portfolio compared toefficient_risk. e.g. I tried to get a portfolio at 7% return target usingefficient_return, and it gave me a portfolio with 6% as volatility. But when I tried to get a portfolio at 5.5% volatility usingefficient_risk, it gave me a portfolio with 7% return. For the same constraints, this would suggestefficient_returncannot find portfolios with the minimum volatility. Do you have insight on what might cause this? Thank you.