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I have implemented Meucci’s Entropy pooling model in Python. Well the codes run very well until I find out that when I apply two side views on the same asset, the scipy optimizer would report a overflow issue.for example, Here I am only showing my inequality views.A is the inequality view matrix and B is the corresponding values and X is my portfolio return matrix.X[:,0] is the first column of the matirx(the first asset).

    A=np.matrix(X[:,0],-X[:,0])
    B=[0.05,-0.08]

What is showing here is I have a view that the expected return of the first asset is between 0.05 and 0.08. However it wouldn’t work out. It would report a overflow issue. I am pretty sure my other codes are correct since if I only put one side view for one asset the model always gives me correct answers. But when I give two sides views the model just can’t work out. I suspect there must be something wrong in how I write two side views. I appreciate if someone could help.

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Looks like the problem is solved when I changed the optimizer from “SLSQP” to “COBYLA”. So it is a optimizer issue not a view issue.

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