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Fixed portfolio_performance function which while calling objective_functions.negative_sharpe function passed risk_free_rate as gamma argument for L2 regularization instead of risk free rate.

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Tomas
2019-03-26 20:56:02 +01:00
parent 2f52715196
commit 4d09ba9864
1 changed files with 1 additions and 1 deletions
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pypfopt/base_optimizer.py
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@@ -134,7 +134,7 @@ def portfolio_performance(
mu = newweights.dot(expected_returns)
sharpe = -objective_functions.negative_sharpe(
newweights, expected_returns, cov_matrix, risk_free_rate
newweights, expected_returns, cov_matrix, risk_free_rate = risk_free_rate
)
if verbose:
print("Expected annual return: {:.1f}%".format(100 * mu))