Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Jump to bottom

Calculation of tangent portfolio #21

Open
phenaff opened this issue Mar 11, 2021 · 0 comments
Open

Calculation of tangent portfolio #21

phenaff opened this issue Mar 11, 2021 · 0 comments

Comments

@phenaff
Copy link

phenaff commented Mar 11, 2021

Problem description

The function max_sharpe_ration in the vignette has a small error. The constraint $\w^T \mu = 1$ should be $\w^T (\mu - r_f) = 1$
i.e. one needs to subtract the risk-free rate from $\ mu$.
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Assignees
No one assigned
Labels
None yet
Projects
None yet
Milestone
No milestone
Development

No branches or pull requests
1 participant
@phenaff