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adeguati limiti a benchmark

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fredmaloggia
2026-02-03 17:23:09 +01:00
parent 8c9083b0c7
commit e1f5a3721a
1 changed files with 23 additions and 6 deletions
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Ottimizzatore UK.py
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@@ -120,13 +120,30 @@ for (years, target_vol), name in volatility_targets.items():
# Aggiunta dei vincoli per le categorie e le asset class
categories_limits = df.groupby('Categoria')['PesoMax'].max().to_dict()
asset_class_limits = {
'Azionari': 0.75,
'Obbligazionari': 0.75,
asset_class_limits_by_portfolio = {
'VAR3_GBP': {
'Azionari': 0.30,
'Obbligazionari': 0.70,
'Metalli Preziosi': 0.10,
'Materie Prime': 0.0,
'Immobiliare': 0.0
},
'VAR6_GBP': {
'Azionari': 0.50,
'Obbligazionari': 0.50,
'Metalli Preziosi': 0.15,
'Materie Prime': 0.0,
'Immobiliare': 0.0
},
'VAR9_GBP': {
'Azionari': 0.65,
'Obbligazionari': 0.25,
'Metalli Preziosi': 0.20,
'Materie Prime': 0.05,
'Immobiliare': 0.05
'Materie Prime': 0.0,
'Immobiliare': 0.0
}
}
asset_class_limits = asset_class_limits_by_portfolio[name]
for category, max_weight in categories_limits.items():
isin_list = df[df['Categoria'] == category]['ISIN'].tolist()