Coverage for src/cvx/risk/__init__.py: 100%

1"""Risk models for portfolio optimization. 

2 

3The cvxrisk package provides a collection of risk models for portfolio optimization 

4using the Clarabel conic solver directly. It supports various risk measures including 

5sample covariance, factor models, and Conditional Value at Risk (CVaR). 

6 

7Example: 

8 Basic usage with sample covariance: 

9 

10 >>> import numpy as np 

11 >>> from cvx.risk import Model 

12 >>> from cvx.risk.sample import SampleCovariance 

13 >>> from cvx.risk.portfolio import minrisk_problem 

14 >>> from cvx.core.variable import Variable 

15 >>> # Create a risk model 

16 >>> model = SampleCovariance(num=3) 

17 >>> model.update( 

18 ... cov=np.eye(3), 

19 ... lower_assets=np.zeros(3), 

20 ... upper_assets=np.ones(3) 

21 ... ) 

22 >>> # Create and solve optimization 

23 >>> weights = Variable(3) 

24 >>> problem = minrisk_problem(model, weights) 

25 >>> problem.solve() 

26 >>> np.allclose(weights.value, [1/3, 1/3, 1/3], atol=1e-5) 

27 True 

28 

29Modules: 

30 cvar: Conditional Value at Risk risk model 

31 factor: Factor-based risk model 

32 portfolio: Portfolio optimization functions 

33 sample: Sample covariance risk model 

34 

35""" 

36 

37# Copyright (c) 2025 Jebel Quant Research 

38# 

39# Licensed under the MIT License. See the LICENSE file in the project root 

40# for the full license text. 

41import importlib.metadata 

42 

43__version__ = importlib.metadata.version("cvxrisk") 

44 

45from cvx.core import Model as Model