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

1"""Sample covariance risk models for portfolio optimization. 

2 

3This subpackage provides the SampleCovariance class for risk estimation 

4based on the sample covariance matrix. 

5 

6Example: 

7 >>> import numpy as np 

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

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

10 >>> model.update( 

11 ... cov=np.eye(3), 

12 ... lower_assets=np.zeros(3), 

13 ... upper_assets=np.ones(3) 

14 ... ) 

15 >>> risk = model.estimate(np.array([1/3, 1/3, 1/3])) 

16 >>> isinstance(risk, float) 

17 True 

18 

19Classes: 

20 SampleCovariance: Risk model based on sample covariance matrix 

21 

22""" 

23 

24# Copyright 2023 Stanford University Convex Optimization Group 

25# 

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

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

28# You may obtain a copy of the License at 

29# 

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

31# 

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

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

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

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

36# limitations under the License. 

37from .sample import SampleCovariance as SampleCovariance