01-09 Optimizers: How to optimiz
2019-06-06 本文已影响0人
非常暴龙兽
Framing the problem:
- provide a function to minimize
- provide an initial guess for X
- call the optimizer
因为SR越大越好，而优化是找最小值。
X的每个维度是每只股票分配比例。
Ranges and constraints:
- Ranges: Limits on values for
- Comstrains: properties of X that must be "true"
