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I'd put this down as a comment, but don't have the reputation to do so. There is (or at least used to be) a two part MOOC course over at Coursera by one of the developers of QuantSoftware Toolkit. This is not an endorsement of the course or the software, just a statement of fact (for the record, I did do a part of the course, but found it too simplistic and ...


From how you outlined your solution, you are computing the mean variance portfolio with minimum risk and with target return $\overline{r}$. I'd say that you are solving an optimization using Lagrange multiplier method given the values of matrix A. $\lambda$ and $\mu$ are the Lagrande multipliers: these parameters measure the sensitivity of the Lagrange ...


You can download the time series of e.g. S&P500 prices from NYSE, then their dates should well represent approximately the real NYSE trading days.

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