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adding the covariance matrix #4

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adding the covariance matrix #4

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6 changes: 3 additions & 3 deletions chapter17/17_8_6_riskParityOpt.py
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Original file line number Diff line number Diff line change
@@ -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)
Expand All @@ -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)
res = minimize(rc_err, w0, cov_mat, method='trust-constr', constraints=sum_constraint, bounds=bounds)
print(res.x)