g

cvxopt

@@ -0,0 +1 @@
+Subproject commit f236615e5bd326daeb6cda511c31d86bcc354747

main.py

@@ -20,25 +20,25 @@ pd.options.plotting.backend = "plotly"
 
 # PARAMETERS
 CONFIGS = {
-    "ENV": "development",
-    "DEBUG": True,
+    # "ENV": "development",
+    # "DEBUG": True,
     "SECRET_KEY": os.urandom(30), # Set the secret key for session authentication
     "PERMANENT_SESSION_LIFETIME": timedelta(minutes=60)
 }
-# SQL_CONFIG = dict(
-#     database= os.getenv("PGDATABASE"),
-#     user=os.getenv("PGUSER"), 
-#     host=os.getenv("PGHOST"), 
-#     port=os.getenv("PGPORT"),
-#     password=os.getenv("PGPASSWORD")
-# )
 SQL_CONFIG = dict(
-        database="railway",
-        user="postgres", 
-        host="containers-us-west-103.railway.app", 
-        port="5913",
-        password="gv5Mh7cPjCm9YTjAmsYD"
+    database= os.getenv("PGDATABASE"),
+    user=os.getenv("PGUSER"), 
+    host=os.getenv("PGHOST"), 
+    port=os.getenv("PGPORT"),
+    password=os.getenv("PGPASSWORD")
 )
+# SQL_CONFIG = dict(
+#         database="railway",
+#         user="postgres", 
+#         host="containers-us-west-103.railway.app", 
+#         port="5913",
+#         password="gv5Mh7cPjCm9YTjAmsYD"
+# )
 # SQL_CONFIG = {
 #     'database': "tpm",
 #     'user': "hsienchen", 

portfolio_builder.py

@@ -101,8 +101,17 @@ class MVO(object):
         retPort = ret@w # T-dimensional array
         stdPort = np.std(retPort)
         return cov@w/stdPort
+    @staticmethod
+    def quadratic_utility(w, ret, gamma):
+        retPort = ret@w # T-dimensional array
+        varPort = np.var(retPort) 
+        return np.mean(retPort) - 0.5*gamma*varPort
+    @staticmethod
+    def quadratic_utility_grad(w, ret, cov, gamma):
+        manual_ret = np.mean(ret, axis=0)
+        return manual_ret - gamma*cov@w
     @classmethod
-    def opt(cls, ret, role="max_sharpe"):
+    def opt(cls, ret, gamma=0, role="max_sharpe"):
         n = ret.shape[1]
         init=np.ones(n)/n
         if role=="max_sharpe":
@@ -117,6 +126,10 @@ class MVO(object):
             cov=np.cov(ret.T)
             loss = lambda w: cls.volatility(w, ret)
             grad = lambda w: cls.volatility_grad(w, ret, cov)
+        elif role=="quadratic_utility":
+            cov=np.cov(ret.T)
+            loss = lambda w: -cls.quadratic_utility(w, ret, gamma)
+            grad = lambda w: -cls.quadratic_utility_grad(w, ret, cov, gamma)
         else:
             return init
         bnds = [[0, 0.6] for i in range(n)]

templates/base.html

@@ -62,6 +62,7 @@
             ('/', 'index', '首頁', 'bi bi-house-fill'),
             ('/strategy', 'strategy', '建立策略', 'fa-solid fa-chart-pie'),
             ('/strategy_tw', 'strategy_tw', '台股建立策略', 'fa-solid fa-chart-pie'),
+            ('/strategy_bl', 'strategy_bl', 'Black-Litterman配置', 'fa-solid fa-chess-knight'),
             ('/custom', 'custom', '自訂數據建立策略', 'bi bi-database-fill-add'),
             ('/result', 'result', '分析結果排行', 'fa-solid fa-chart-simple'),
             ('mailto:r10246002@ntu.edu.tw', 'error', '錯誤回報', 'bi bi-bug-fill')