I have a code that calculates random pairs (volatility vs expected returns; for an efficient frontier) and puts them into a list. Is there any way to narrow the list down to only "efficient pairs" (hence, the maximum return for each volatility)? So there would only be a line at the top (like in the picture)?
Also connecting the dots with a line would go a long way!
ff is a pandas Dataframe with daily returns (floats) Code:
Mean = ff.mean()
Vol = ff.cov()
nPort = 10000
weight = np.zeros((nPort,11))
eR = np.zeros((nPort,11))
eV = np.zeros((nPort,11))
sR = np.zeros((nPort,11))
for k in range(nPort):
# generate random weight vector
w = np.array(np.random.random(11))
w = w/np.sum(w)
weight[k,:] = w
# expected returns
eR[k] = np.sum(Mean * w)
# expected Vol
eV[k] = np.sqrt(np.dot(w.T,np.dot(Vol,w)))
#sharpe
sR[k] = eR[k]/eV[k]
plt.figure(figsize=(12,5))
plt.scatter(eV,eR, c=sR)
plt.colorbar(label='sR')
plt.show()