diff --git a/experiments/taming.py b/experiments/taming.py index 44e09e1..193b3f9 100644 --- a/experiments/taming.py +++ b/experiments/taming.py @@ -17,7 +17,9 @@ def unconstrained_markowitz(inputs: OptimizationInput) -> np.ndarray: c = cp.Variable() objective = mu @ w - chol = np.linalg.cholesky(Sigma) + chol = np.transpose(np.linalg.cholesky(Sigma)) + # chol should now be an upper triangular matrix + constraints = [ cp.sum(w) + c == 1, cp.norm2(chol @ w) <= inputs.risk_target,