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[docs] Fix plotting (issue 422)

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phschiele
2022-03-13 23:46:13 +01:00
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parent 102c593d54
commit a42becde1d
1 changed files with 6 additions and 5 deletions
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11
docs/Plotting.rst
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@@ -45,18 +45,19 @@ We can easily generate more complex plots. The following script plots both the e
randomly generated (suboptimal) portfolios, coloured by the Sharpe ratio::
fig, ax = plt.subplots()
ef_max_sharpe = copy.deepcopy(ef)
plotting.plot_efficient_frontier(ef, ax=ax, show_assets=False)
# Find the tangency portfolio
ef.max_sharpe()
ret_tangent, std_tangent, _ = ef.portfolio_performance()
ef_max_sharpe.max_sharpe()
ret_tangent, std_tangent, _ = ef_max_sharpe.portfolio_performance()
ax.scatter(std_tangent, ret_tangent, marker="*", s=100, c="r", label="Max Sharpe")
# Generate random portfolios
n_samples = 10000
w = np.random.dirichlet(np.ones(len(mu)), n_samples)
rets = w.dot(mu)
stds = np.sqrt(np.diag(w @ S @ w.T))
w = np.random.dirichlet(np.ones(ef.n_assets), n_samples)
rets = w.dot(ef.expected_returns)
stds = np.sqrt(np.diag(w @ ef.cov_matrix @ w.T))
sharpes = rets / stds
ax.scatter(stds, rets, marker=".", c=sharpes, cmap="viridis_r")