alihan/PyPortfolioOpt
1
0
Fork 0
mirror of https://github.com/robertmartin8/PyPortfolioOpt.git synced 2022-11-27 18:02:41 +03:00
Code Issues Packages Projects Releases Wiki Activity

fix sector constraint bug

Browse Source
This commit is contained in:
robertmartin8
2020-04-28 22:39:46 +08:00
parent b453689aaa
commit 3473845ce6
2 changed files with 15 additions and 13 deletions
Download Patch File Download Diff File Expand all files Collapse all files

8
pypfopt/base_optimizer.py
View File

@@ -237,7 +237,9 @@ class BaseConvexOptimizer(BaseOptimizer):
def add_sector_constraints(self, sector_mapper, sector_lower, sector_upper):
"""
Add sector constraints, e.g portfolio's exposure to tech must be less than x%::
Adds constraints on the sum of weights of different groups of assets.
Most commonly, these will be sector constraints e.g portfolio's exposure to
tech must be less than x%::
sector_mapper = {
"GOOG": "tech",
@@ -266,10 +268,10 @@ class BaseConvexOptimizer(BaseOptimizer):
"Sector constraints may not produce reasonable results if shorts are allowed."
)
for sector in sector_upper:
is_sector = [v == sector for k, v in sector_mapper.items()]
is_sector = [sector_mapper[t] == sector for t in self.tickers]
self._constraints.append(cp.sum(self._w[is_sector]) <= sector_upper[sector])
for sector in sector_lower:
is_sector = [v == sector for k, v in sector_mapper.items()]
is_sector = [sector_mapper[t] == sector for t in self.tickers]
self._constraints.append(cp.sum(self._w[is_sector]) >= sector_lower[sector])
def convex_objective(self, custom_objective, weights_sum_to_one=True, **kwargs):