Consider the pseudo code below to obtain the efficient portf…
Consider the pseudo code below to obtain the efficient portfolios:from scipy.optimize import minimize f = lambda w: TO BE FILLED mu = np.linspace(15, 30, 31) sd_optimal = np.zeros_like(mu) w_optimal = np.zeros([31, 5]) for i in range(len(mu)): # Optimization Constraints cons = ({‘type’:’eq’, ‘fun’: lambda w: np.sum(w) – 1}, {‘type’:’eq’, ‘fun’: lambda w: w @ ER * 252 * 100 – mu[i]}) result = minimize(f, np.zeros(5), constraints=cons) w_optimal[i, :] = result.x sd_optimal[i] = np.sqrt(result.fun)Assuming that ER are Cov given, what should we substitute TO BE FILLED for in order to get the desired result?
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Consider a portfolio with the following weights w, expected return on each risky asset ER, and covariance matrix Cov below. w = np.array([0.05, 0.03]) ER = np.array([0.10, 0.02])Cov = np.cov([[0.004, 0.0156], [0.0156, 0.009]]) Which of the following expressions represents the portfolio volatility in Python?
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