fix sector constraint bug

pypfopt/base_optimizer.py

@@ -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):

tests/test_efficient_frontier.py

@@ -216,16 +216,6 @@ def test_min_volatility_cvxpy_vs_scipy():
 
 def test_min_volatility_sector_constraints():
     sector_mapper = {
-        "GOOG": "tech",
-        "AAPL": "tech",
-        "FB": "tech",
-        "AMZN": "tech",
-        "BABA": "tech",
-        "GE": "utility",
-        "AMD": "tech",
-        "WMT": "retail",
-        "BAC": "fig",
-        "GM": "auto",
         "T": "auto",
         "UAA": "airline",
         "SHLD": "retail",
@@ -236,6 +226,16 @@ def test_min_volatility_sector_constraints():
         "PFE": "pharma",
         "JPM": "fig",
         "SBUX": "retail",
+        "GOOG": "tech",
+        "AAPL": "tech",
+        "FB": "tech",
+        "AMZN": "tech",
+        "BABA": "tech",
+        "GE": "utility",
+        "AMD": "tech",
+        "WMT": "retail",
+        "BAC": "fig",
+        "GM": "auto",
     }
 
     sector_upper = {