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migrated efficient risk #77

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robertmartin8
2020-03-15 19:06:24 +00:00
parent d7e7e0c160
commit 44f3d3dee9
4 changed files with 237 additions and 181 deletions
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10
pypfopt/base_optimizer.py
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@@ -161,15 +161,15 @@ class BaseConvexOptimizer(BaseOptimizer):
)
lower, upper = test_bounds
# Replace None values with the appropriate infinity.
# Replace None values with the appropriate +/- 1
if np.isscalar(lower) or lower is None:
lower = -np.inf if lower is None else lower
lower = -1 if lower is None else lower
self._lower_bounds = np.array([lower] * self.n_assets)
upper = np.inf if upper is None else upper
upper = 1 if upper is None else upper
self._upper_bounds = np.array([upper] * self.n_assets)
else:
self._lower_bounds = np.nan_to_num(lower, nan=-np.inf)
self._upper_bounds = np.nan_to_num(upper, nan=np.inf)
self._lower_bounds = np.nan_to_num(lower, nan=-1)
self._upper_bounds = np.nan_to_num(upper, nan=1)
self._constraints.append(self._w >= self._lower_bounds)
self._constraints.append(self._w <= self._upper_bounds)