Comments (3)
Hello, this error comes from cvxpy
solver settings and is due to a misspecified problem (probably the covariance matrix is near singular), it's not a cvxportfolio
error. Can you post the full script that generated it? My guess is that adding a RiskForecastError
term with a small multiplier would fix it. Also changing cvxpy
solver is worth a try...
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I think this error relate to the frequency 'month'
I call the serve(t) function in the 1.0.1 version, and saw that the past return is sampled monthly, so the past return length is divided by about 30, and may be not long enough to calculate the covariance matrix
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I think this error relate to the frequency 'month' I call the serve(t) function in the 1.0.1 version, and saw that the past return is sampled monthly, so the past return length is divided by about 30, and may be not long enough to calculate the covariance matrix
Thanks! You are right, with less history the covariance estimate is more noisy. My point though stays, you should just subtract some cvx.RiskForecastError()
term to the objective to regularize it. Also, when you get solver errors, switching solver is always a good try.
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