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markowitz Namespace Reference

Variables

str GAMS_MODEL
 
sys sys_dir = sys.argv[1] if len(sys.argv) > 1 else None
 
GamsWorkspace ws = GamsWorkspace(system_directory=sys_dir)
 
GamsWorkspace job = ws.add_job_from_string(GAMS_MODEL)
 
GamsWorkspace opt = ws.add_options()
 
 all_model_types
 
GamsWorkspace cp = ws.add_checkpoint()
 
GamsWorkspace mi = cp.add_modelinstance()
 
GamsWorkspace l = mi.sync_db.add_parameter("lambda", 0, "")
 
list data_points = []
 
 value
 
GamsWorkspace min_ret = mi.sync_db["ret"].first_record().level
 
GamsWorkspace max_ret = mi.sync_db["ret"].first_record().level
 
float gap = 0.02
 
list intervals = [((0.0, min_ret), (1.0, max_ret))]
 
list i = intervals.pop()
 
 min_l
 
 max_l
 
tuple l_val = (min_l + max_l) / 2
 
GamsWorkspace cur_ret = mi.sync_db["ret"].first_record().level
 
 key
 
list ret = [x[0] for x in data_points]
 
list var = [x[1] for x in data_points]
 
 marker
 
 markersize
 

Variable Documentation

◆ all_model_types

markowitz.all_model_types

Definition at line 69 of file markowitz.py.

◆ cp

GamsWorkspace markowitz.cp = ws.add_checkpoint()

Definition at line 74 of file markowitz.py.

◆ cur_ret

GamsWorkspace markowitz.cur_ret = mi.sync_db["ret"].first_record().level

Definition at line 116 of file markowitz.py.

◆ data_points

list markowitz.data_points = []

Definition at line 81 of file markowitz.py.

◆ GAMS_MODEL

str markowitz.GAMS_MODEL

Definition at line 18 of file markowitz.py.

◆ gap

float markowitz.gap = 0.02

Definition at line 94 of file markowitz.py.

◆ i

list markowitz.i = intervals.pop()

Definition at line 105 of file markowitz.py.

◆ intervals

list markowitz.intervals = [((0.0, min_ret), (1.0, max_ret))]

Definition at line 98 of file markowitz.py.

◆ job

GamsWorkspace markowitz.job = ws.add_job_from_string(GAMS_MODEL)

Definition at line 67 of file markowitz.py.

◆ key

markowitz.key

Definition at line 126 of file markowitz.py.

◆ l

GamsWorkspace markowitz.l = mi.sync_db.add_parameter("lambda", 0, "")

Definition at line 77 of file markowitz.py.

◆ l_val

tuple markowitz.l_val = (min_l + max_l) / 2

Definition at line 109 of file markowitz.py.

◆ marker

markowitz.marker

Definition at line 129 of file markowitz.py.

◆ markersize

markowitz.markersize

Definition at line 129 of file markowitz.py.

◆ max_l

markowitz.max_l

Definition at line 107 of file markowitz.py.

◆ max_ret

markowitz.max_ret = mi.sync_db["ret"].first_record().level

Definition at line 90 of file markowitz.py.

◆ mi

GamsWorkspace markowitz.mi = cp.add_modelinstance()

Definition at line 76 of file markowitz.py.

◆ min_l

markowitz.min_l

Definition at line 106 of file markowitz.py.

◆ min_ret

markowitz.min_ret = mi.sync_db["ret"].first_record().level

Definition at line 86 of file markowitz.py.

◆ opt

GamsWorkspace markowitz.opt = ws.add_options()

Definition at line 68 of file markowitz.py.

◆ ret

markowitz.ret = [x[0] for x in data_points]

Definition at line 127 of file markowitz.py.

◆ sys_dir

sys markowitz.sys_dir = sys.argv[1] if len(sys.argv) > 1 else None

Definition at line 64 of file markowitz.py.

◆ value

markowitz.value

Definition at line 84 of file markowitz.py.

◆ var

markowitz.var = [x[1] for x in data_points]

Definition at line 128 of file markowitz.py.

◆ ws

GamsWorkspace markowitz.ws = GamsWorkspace(system_directory=sys_dir)

Definition at line 65 of file markowitz.py.