f9a4be45c3c4e4335d36c3ca934c399990021507,pypfopt/efficient_frontier.py,EfficientSemivariance,efficient_risk,#EfficientSemivariance#,555

Before Change

        p = cp.Variable(self._T, nonneg=True)
        n = cp.Variable(self._T, nonneg=True)

        self._constraints.append(cp.sum_squares(n) <= (target_semideviation ** 2))

        B = (self.historic_returns.values - self.benchmark) / np.sqrt(self._T)
        self._constraints.append(B @ self._w - p + n == 0)

After Change

        n = cp.Variable(self._T, nonneg=True)

        self._constraints.append(
            self.frequency * cp.sum(cp.square(n)) <= (target_semideviation ** 2)
        )

        B = (self.historic_returns.values - self.benchmark) / np.sqrt(self._T)

Instances