Agfdhyk

import numpy as np

from cvxpy import *

np.random.seed(1)

n = 10

mu = np.abs(np.random.randn(n, 1))

Sigma = np.ones((n, n))

w = Variable(n, boolean=True)

gamma = 1

ret = mu.T*w

risk = quad_form(w, Sigma)

prob = Problem(Maximize(ret - gamma*risk))

prob.solve()

import numpy as np

from cvxpy import *

np.random.seed(1)

n = 10

mu = np.abs(np.random.randn(n, 1))

Sigma = np.ones((n, n))

w = Variable(n, boolean=True)

gamma = 1

ret = mu.T*w

risk = quad_form(w, Sigma)

prob = Problem(Maximize(ret - gamma*risk))

prob.solve()

import numpy as np

from cvxpy import *

np.random.seed(1)

n = 10

mu = np.abs(np.random.randn(n, 1))

Sigma = np.ones((n, n))

w = Variable(n, boolean=True)

gamma = 1

ret = mu.T*w

risk = quad_form(w, Sigma)

prob = Problem(Maximize(ret - gamma*risk))

prob.solve()

import numpy as np

from cvxpy import *

np.random.seed(1)

n = 10

mu = np.abs(np.random.randn(n, 1))

Sigma = np.ones((n, n))

w = Variable(n, boolean=True)

gamma = 1

ret = mu.T*w

risk = quad_form(w, Sigma)

prob = Problem(Maximize(ret - gamma*risk))

prob.solve()

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