Coverage for cvx/portfolio/min_risk.py: 100%

1# Copyright 2023 Stanford University Convex Optimization Group 

2# 

3# Licensed under the Apache License, Version 2.0 (the "License"); 

4# you may not use this file except in compliance with the License. 

5# You may obtain a copy of the License at 

6# 

7# http://www.apache.org/licenses/LICENSE-2.0 

8# 

9# Unless required by applicable law or agreed to in writing, software 

10# distributed under the License is distributed on an "AS IS" BASIS, 

11# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. 

12# See the License for the specific language governing permissions and 

13# limitations under the License. 

14from __future__ import annotations 

15 

16import cvxpy as cp 

17 

18 

19def minrisk_problem(riskmodel, weights, **kwargs): 

20 problem = cp.Problem( 

21 cp.Minimize(riskmodel.estimate(weights, **kwargs)), 

22 [cp.sum(weights) == 1.0, weights >= 0] 

23 + riskmodel.constraints(weights, **kwargs), 

24 ) 

25 

26 return problem