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

1"""Portfolio optimization models. 

2 

3This subpackage provides functions for creating portfolio optimization problems 

4using various risk models. Problems are solved directly with the Clarabel solver. 

5 

6Example: 

7 >>> import numpy as np 

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

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

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

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

12 >>> model.update( 

13 ... cov=np.eye(3), 

14 ... lower_assets=np.zeros(3), 

15 ... upper_assets=np.ones(3) 

16 ... ) 

17 >>> weights = Variable(3) 

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

19 >>> problem.solve() 

20 >>> bool(abs(sum(weights.value) - 1.0) < 1e-5) 

21 True 

22 

23Functions: 

24 minrisk_problem: Create a minimum-risk portfolio optimization problem 

25 

26""" 

27# Copyright (c) 2025 Jebel Quant Research 

28# 

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

30# for the full license text. 

31 

32from .min_risk import minrisk_problem as minrisk_problem