Issue with sign
leryan36 opened this issue · comments
Hi, thanks for sharing your work. I am getting the following error and I cannot figure it out if you have any ideas. I already replaced ix by loc and min_ret = Parameters(nonneg=True):
TypeError Traceback (most recent call last)
~/Documents/Python/markowitz-portfolio-optimization-original/main.py in ()
52 while date_index_iter + 20 < end_index:
53 date = index[date_index_iter]
---> 54 portfolio_alloc = MarkowitzOpt(shift_returns_mean.loc[date], shift_returns_var.loc[date], covariance.loc[date], interest_rate, min_return)
55 distribution[date.strftime('%Y-%m-%d')] = portfolio_alloc
56
~/Documents/Python/markowitz-portfolio-optimization-original/markowitz.py in MarkowitzOpt(mean, variance, covariance, interest_rate, min_return)
31 ret = mu.T* w
32 risk = quad_form(w, Sigma)
---> 33 min_ret = Parameter(nonneg=True)
34 min_ret.value = min_return
35 prob = Problem(Minimize(risk), # Restricting to long-only portfolio
/opt/anaconda3/envs/financial-analysis/lib/python3.10/site-packages/cvxpy/expressions/constants/parameter.py in init(self, shape, name, value, id, **kwargs)
59 self._value = None
60 self.delta = None
---> 61 #self.gradient = None
62 super(Parameter, self).init(shape, value, **kwargs)
63 self._is_constant = True
TypeError: Leaf.init() got an unexpected keyword argument 'sign'
Sorry, I'm not maintaining this project any more. I'm sure the various libraries and dependencies have changed their APIs since this code was last run (years ago).