I am attempting to implement a resampled portfolio optimization using the expected returns and covariances from JPM 2018 outlook, but when I use CVXOPT to solve for the efficient frontier, it is not arriving at the global minimum variance solution. I can tell its not by the space between the randomly generated portfolios and the calculated efficient frontier. When I run the same code on historical data of more correlated assets such as stocks the line fits perfectly to the random weight portfolio.
Any insight as to why this may be occurring? I realize it must be because of the data's structure or how I am calculating the mu vector.
I have attached the notebook for reference.