https://www.tapd.cn/59187493/documents/show/1159187493001000730

依照文档进行模型优化

portfolios/solver.py

@@ -452,8 +452,6 @@ class PRRSolver(ARCSolver):
 
         model.cons_RR_LE_TRR = Constraint(
             expr=sum([model.w[i] * RR_LE_TRR[i] for i in model.indices]) >= minRRweightWithinTRR)
-        # todo trr<指定值
-        # model.cons_LE_TRR = Constraint(expr=sum([model.w[i] * RR[i] for i in model.indices]) <= TRR)
         if TRR < 5:
             model.cons_RR_in_1_5 = Constraint(
                 expr=sum([model.z[i] * (RR_in_1_5[i] * self.max_count - RR_EQ_5[i]) for i in model.indices]) >= 0)

portfolios/utils.py

 import pandas as pd
-from py_jftech import autowired
+from py_jftech import autowired, get_config
 
 from api import DatumType, Datum
 
@@ -38,10 +38,12 @@ def format_weight(weight: dict, to=1) -> dict:
     if weight_series.sum() == to:
         return dict(weight_series)
     id_sort = sorted(weight_series.to_dict().keys(), key=lambda x: risk_dict.get(int(x)))
+    low = get_config('portfolios.solver.mpt.low-weight')
+    high = get_config('portfolios.solver.mpt.high-weight')[0]
     # 低风险
-    minidx = id_sort[0]
+    minidx = [i for i in id_sort if weight[i] < high][0]
     # 高风险
-    maxidx = id_sort[-1]
+    maxidx = [i for i in id_sort if weight[i] > low][-1]
     if weight_series.sum() < to:
         weight_series[minidx] += to - weight_series.sum()
     elif weight_series.sum() > to:
@@ -50,4 +52,4 @@ def format_weight(weight: dict, to=1) -> dict:
 
 
 if __name__ == '__main__':
-    format_weight({"5": 0.35, "6": 0.35, "10": 0.09, "11": 0.16, "22": 0.05})
+    format_weight({"5": 0.35, "6": 0.35, "10": 0.1, "11": 0.16, "22": 0.05})