SSL certificate validation for a proxy connection using python requests - ssl

Question

I'm trying to connect to a site, e.g www.yahoo.com via proxy using python requests library. So, I define proxy settings as:
HOST = 'host'
PORT = 1234 # random port I have used here
USER = 'user'
PASS = 'password'
PROXY = "%s:%s#%s:%d" % (USER, PASS, HOST, PORT)
PROXY_DICT = {
"http" : 'http://' + PROXY,
"https" : 'https://' + PROXY,
}
I use the following line of code:
requests.get('http://www.yahoo.com', proxies=proxy_dict)
This doesn't raise an exception but the response text is an error page from the proxy saying "Ensure you have installed the certificate". I have a certificate "certificate.crt", which runs fine when used with chrome browser. And the certificate is self-signed. I have tried a couple of things which raise errors.
When used the crt file as a verify param, following error:
SSLError: [Errno bad ca_certs: 'certificate.crt'] []
When used the crt file as a cert param, following error:
Error: [('PEM routines', 'PEM_read_bio', 'no start line'), ('SSL routines', 'SSL_CTX_use_certificate_file', 'PEM lib')]
I managed to get a .pem file(I'm not sure but, it might have been generated using a key and a crt file) as well. When using it with cert param, it doesn't throw error, but the response text is again having the text "...Ensure that the certificate is installed..."
When used .pem file with verify param, following error:
SSLError: [Errno bad handshake] [('SSL routines', 'SSL3_GET_SERVER_CERTIFICATE', 'certificate verify failed')]
Now when I refer to requests docs, I see I can use two parameters verify and cert. What shall I use here? And how?