Comments (1)
it works after I made a little change in file 'risks':
class FactorModelSigma(BaseRiskModel):
self.expression = cvx.sum_squares(cvx.multiply(np.sqrt(values_in_time(self.idiosync, t)), wplus)) +
cvx.quad_form((wplus.T * values_in_time(self.exposures, t).values).T,values_in_time(self.factor_Sigma, t).values)
from cvxportfolio.
Related Issues (20)
- pip install complains of scipy<1.11.0 HOT 4
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from cvxportfolio.