Coverage for src / cvx / markowitz / model.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"""Abstract cp model.""" 

15 

16from __future__ import annotations 

17 

18from abc import ABC, abstractmethod 

19from dataclasses import dataclass, field 

20 

21import cvxpy as cp 

22 

23from cvx.markowitz.types import Expressions, Matrix, Parameter, Variables 

24 

25 

26@dataclass(frozen=True) 

27class Model(ABC): 

28 """Abstract risk model.""" 

29 

30 assets: int 

31 parameter: Parameter = field(default_factory=dict) 

32 data: Parameter = field(default_factory=dict) 

33 

34 @abstractmethod 

35 def estimate(self, variables: Variables) -> cp.Expression: 

36 """Estimate the variance given the portfolio weights.""" 

37 

38 @abstractmethod 

39 def update(self, **kwargs: Matrix) -> None: 

40 """Update the data in the risk model.""" 

41 

42 def constraints(self, variables: Variables) -> Expressions: 

43 """Return the constraints for the risk model.""" 

44 return {}