This project forked from pengchuanc/mean_variance_optimization
根据均值方差理论优化fof组合资产配比并进行回测
根据均值方差理论优化fof组合资产配比并进行回测
根据个人风险偏好，可以计算个人在低于指定风险下，收益最高的资产配置组合，简单使用的话可以按照如下操作来运行
git clone [this project]
cd [current work director]
python -m mvo可以在__main__.py文件中修改target_volatility指标，也可以在optimize.py文件下OptimizeConfig类中修改优化参数，在backtest.py中的BackTestConfig类下修改回测参数
配置文件
资产配置的类型，大类包含四类，分别为权益、固收、另类和现金， 权益类又包含A股（大盘和中盘）、港股、转债，固收类包含利率债和AA企业债， 在主流指数成分内配置
为了保证资产分配的多样性，在优化时对全部资产做个统一的限制
统一限制太过粗糙，此处进行精确限定，如必须保证现金资产比例不低于5%
最后fof组合底层的标的资产，即小f
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