From f4c7bbd72fe0d35d6ea42bf7b8d3a0aa9b6871f3 Mon Sep 17 00:00:00 2001
From: Ahmed Nabil <72295771+AI-Ahmed@users.noreply.github.com>
Date: Tue, 28 Nov 2023 00:42:48 +0300
Subject: [PATCH] adding the covariance matrix

Adding the covariance matrix parameter in the function and argument in the call function.
---
 chapter17/17_8_6_riskParityOpt.py | 6 +++---
 1 file changed, 3 insertions(+), 3 deletions(-)

diff --git a/chapter17/17_8_6_riskParityOpt.py b/chapter17/17_8_6_riskParityOpt.py
index 8ac2a7f..456c4f7 100644
--- a/chapter17/17_8_6_riskParityOpt.py
+++ b/chapter17/17_8_6_riskParityOpt.py
@@ -1,6 +1,6 @@
 from scipy.optimize import minimize, Bounds, LinearConstraint
 
-def rc_err(w):
+def rc_err(w, cov_mat):
     
     n_asset = len(cov_mat)
     denom = np.sqrt(w.T@cov_mat@w)
@@ -20,5 +20,5 @@ def rc_err(w):
 bounds = Bounds([0.0]*len(cov_mat), [1.0]*len(cov_mat))
 sum_constraint = LinearConstraint([1.0]*len(cov_mat), [1.0], [1.0])
 w0 = np.array([1.0/len(cov_mat)]*len(cov_mat))
-res = minimize(rc_err, w0, method='trust-constr', constraints=sum_constraint, bounds=bounds)
-print(res.x)
\ No newline at end of file
+res = minimize(rc_err, w0, cov_mat, method='trust-constr', constraints=sum_constraint, bounds=bounds)
+print(res.x)