Coverage for src / cvx / markowitz / portfolios / min_var.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. 

14"""Minimum-variance portfolio builder.""" 

15 

16from __future__ import annotations 

17 

18from dataclasses import dataclass 

19 

20import cvxpy as cp 

21 

22from cvx.markowitz.builder import Builder 

23from cvx.markowitz.model import Model # noqa: F401 

24from cvx.markowitz.names import ConstraintName as C 

25from cvx.markowitz.types import Parameter, Variables # noqa: F401 

26 

27 

28@dataclass(frozen=True) 

29class MinVar(Builder): 

30 """Construct a long-only, budget-constrained minimum-variance portfolio.""" 

31 

32 @property 

33 def objective(self) -> cp.Objective: 

34 """Return the CVXPY objective for minimizing portfolio risk.""" 

35 return cp.Minimize(self.risk.estimate(self.variables)) 

36 

37 def __post_init__(self) -> None: 

38 """Set up default constraints for the minimum-variance portfolio.""" 

39 super().__post_init__() 

40 self.constraints[C.LONG_ONLY] = self.weights >= 0 

41 self.constraints[C.BUDGET] = cp.sum(self.weights) == 1.0