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alpha-mind
Commit 8b061a73 authored by Dr.李's avatar Dr.李
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update er analysis

parent 6b3f0a38
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Showing with 5 additions and 6 deletions
alphamind/analysis/factoranalysis.py
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...@@ -112,7 +112,7 @@ def er_portfolio_analysis(er: np.ndarray, ...@@ -112,7 +112,7 @@ def er_portfolio_analysis(er: np.ndarray,
weights = long_short_builder(er).flatten() weights = long_short_builder(er).flatten()
elif method == 'mv' or method == 'mean_variance': elif method == 'mv' or method == 'mean_variance':
lbound, ubound, cons_exp, risk_lbound, risk_ubound = create_constraints(benchmark, **kwargs) lbound, ubound, cons_exp, risk_lbound, risk_ubound = create_constraints(benchmark, **kwargs)
cov = kwargs['cov'] risk_model = kwargs['risk_model']
if 'lam' in kwargs: if 'lam' in kwargs:
lam = kwargs['lam'] lam = kwargs['lam']
...@@ -120,7 +120,7 @@ def er_portfolio_analysis(er: np.ndarray, ...@@ -120,7 +120,7 @@ def er_portfolio_analysis(er: np.ndarray,
lam = 1. lam = 1.
status, _, weights = mean_variance_builder(er, status, _, weights = mean_variance_builder(er,
cov=cov, risk_model=risk_model,
bm=benchmark, bm=benchmark,
lbound=lbound, lbound=lbound,
ubound=ubound, ubound=ubound,
...@@ -132,7 +132,7 @@ def er_portfolio_analysis(er: np.ndarray, ...@@ -132,7 +132,7 @@ def er_portfolio_analysis(er: np.ndarray,
elif method == 'tv' or method == 'target_vol': elif method == 'tv' or method == 'target_vol':
lbound, ubound, cons_exp, risk_lbound, risk_ubound = create_constraints(benchmark, **kwargs) lbound, ubound, cons_exp, risk_lbound, risk_ubound = create_constraints(benchmark, **kwargs)
cov = kwargs['cov'] risk_model = kwargs['risk_model']
if 'target_vol' in kwargs: if 'target_vol' in kwargs:
target_vol = kwargs['target_vol'] target_vol = kwargs['target_vol']
...@@ -140,14 +140,13 @@ def er_portfolio_analysis(er: np.ndarray, ...@@ -140,14 +140,13 @@ def er_portfolio_analysis(er: np.ndarray,
target_vol = 1. target_vol = 1.
status, _, weights = target_vol_builder(er, status, _, weights = target_vol_builder(er,
cov=cov, risk_model=risk_model,
bm=benchmark, bm=benchmark,
lbound=lbound, lbound=lbound,
ubound=ubound, ubound=ubound,
risk_exposure=cons_exp, risk_exposure=cons_exp,
risk_target=(risk_lbound, risk_ubound), risk_target=(risk_lbound, risk_ubound),
vol_low=0, vol_target=target_vol)
vol_high=target_vol)
else: else:
raise ValueError("Unknown building type ({0})".format(method)) raise ValueError("Unknown building type ({0})".format(method))
......
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