Please refer to the following articles:
Markowitz, Harry, 1952, Portfolio Selection, Journal of Finance 8,77-91, http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.1952.tb01525.x/full
Modigliani, Franco, 1997, Risk-Adjusted Performance, Journal of Portfolio Managemen, 45–54
Sharpe, William F., 1994, the Sharpe Ratio, the Journal of Portfolio Management 21 (1), 49–58
Sharpe, W. F., 1966, Mutual Fund Performance, Journal of Business 39 (S1), 119–138
Scipy manual, Mathematical optim ization: finding minima of functions, http://www.scipy-lectures.org/advanced/mathematical_optimization/
Sortino, F.A., Price, L.N.,1994, Performance measurement in a downside risk framework, Journal of Investing 3, 50–8
Treynor, Jack L., 1965, How to Rate Management of Investment Funds, Harvard Business Review 43, pp. 63–75