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

1"""Factor risk models for portfolio optimization. 

2 

3This subpackage provides factor-based risk models for portfolio optimization. 

4Factor models decompose portfolio risk into systematic (factor) risk and 

5idiosyncratic (residual) risk. 

6 

7Example: 

8 >>> import numpy as np 

9 >>> from cvx.risk.factor import FactorModel 

10 >>> # Create factor model with 5 assets and 2 factors 

11 >>> model = FactorModel(assets=5, k=2) 

12 >>> np.random.seed(42) 

13 >>> model.update( 

14 ... exposure=np.random.randn(2, 5), 

15 ... cov=np.eye(2), 

16 ... idiosyncratic_risk=np.abs(np.random.randn(5)), 

17 ... lower_assets=np.zeros(5), 

18 ... upper_assets=np.ones(5), 

19 ... lower_factors=-np.ones(2), 

20 ... upper_factors=np.ones(2) 

21 ... ) 

22 >>> w = np.array([0.2, 0.2, 0.2, 0.2, 0.2]) 

23 >>> risk = model.estimate(w) 

24 >>> isinstance(risk, float) 

25 True 

26 

27""" 

28 

29# Copyright (c) 2025 Jebel Quant Research 

30# 

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

32# for the full license text. 

33from .factor import FactorModel as FactorModel