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misc touchups

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robertmartin8
2021-02-13 15:26:48 +08:00
parent 90e730ba4b
commit 654324f5ef
6 changed files with 36 additions and 34 deletions
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pypfopt/objective_functions.py
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@@ -183,7 +183,7 @@ def transaction_cost(w, w_prev, k=0.001):
def ex_ante_tracking_error(w, cov_matrix, benchmark_weights):
"""
Calculate the (square of) the ex-ante Tracking Error, i.e
:math:`\\(w - w_b)^T \\Sigma (w-w_b)`.
:math:`(w - w_b)^T \\Sigma (w-w_b)`.
:param w: asset weights in the portfolio
:type w: np.ndarray OR cp.Variable
@@ -201,7 +201,7 @@ def ex_ante_tracking_error(w, cov_matrix, benchmark_weights):
def ex_post_tracking_error(w, historic_returns, benchmark_returns):
"""
Calculate the (square of) the ex-post Tracking Error, i.e :math:`\\Var(r - r_b)`.
Calculate the (square of) the ex-post Tracking Error, i.e :math:`Var(r - r_b)`.
:param w: asset weights in the portfolio
:type w: np.ndarray OR cp.Variable