我的数组不在范围内

Question

我正在尝试使用 4 种资产投资组合在有效前沿内找到最大夏普比率投资组合。出于某种原因，当我去发现每个资产达到 MSR 所需的权重时，我收到一个超出 0.0 - 1.0 范围的数组，这很奇怪，因为我在上面的公式中写了界限。我该如何解决这个问题？

def msr(riskfree_rate, er, cov):

""" target_ret ->;瓦 """

n = er.shape[0]

init_guess = np.repeat(1/n, n)

bounds = ((0.0, 1.0),)*n

weights_sum_to_1 = {
    'type': 'eq',
    'fun': lambda weights: np.sum(weights) -1  
}

def neg_sharpe_ratio(权重,riskfree_rate,er,cov):

    r = erk.portfolio_returns(weights, er)

    vol = erk.portfolio_vol(weights, cov)

    return -(r - riskfree_rate)/vol
    

结果 = 最小化(neg_sharpe_ratio, init_guess,

                   args = (riskfree_rate, er, cov,), method = "SLSQP",

                   options = {'disp': False},

                   constraints = (weights_sum_to_1),

                   bounds=bounds
                  )
return results.x

rf = 0.1

w_msr = msr( rf、er、cov)

r_msr = erk.portfolio_returns

vol_msr = erk.portfolio_vol(w_msr, cov)

msr(0.1, er[l], cov.loc[l,l])

答案：

array([4.51375048e-15, 1.00000000e+00, 1.40512602e-16 , 0.00000000e+00])