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fixed tests due to new sharpe calc

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robertmartin8
2019-06-28 15:06:59 +08:00
parent 9e5a79afa7
commit 882a559f35
4 changed files with 31 additions and 43 deletions
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14
pypfopt/base_optimizer.py
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@@ -120,21 +120,21 @@ def portfolio_performance(
tickers = list(cov_matrix.columns)
else:
tickers = list(range(len(expected_returns)))
newweights = np.zeros(len(tickers))
new_weights = np.zeros(len(tickers))
for i, k in enumerate(tickers):
if k in weights:
newweights[i] = weights[k]
if newweights.sum() == 0:
new_weights[i] = weights[k]
if new_weights.sum() == 0:
raise ValueError("Weights add to zero, or ticker names don't match")
elif weights is not None:
newweights = np.asarray(weights)
new_weights = np.asarray(weights)
else:
raise ValueError("Weights is None")
sigma = np.sqrt(objective_functions.volatility(newweights, cov_matrix))
mu = newweights.dot(expected_returns)
sigma = np.sqrt(objective_functions.volatility(new_weights, cov_matrix))
mu = new_weights.dot(expected_returns)
sharpe = -objective_functions.negative_sharpe(
newweights, expected_returns, cov_matrix, risk_free_rate = risk_free_rate
new_weights, expected_returns, cov_matrix, risk_free_rate=risk_free_rate
)
if verbose:
print("Expected annual return: {:.1f}%".format(100 * mu))