9cf7514b2e13eba47d78e2965220aabe6804d183,tests/test_efficient_frontier.py,,test_max_sharpe_sector_constraints_manual,#,531

Before Change

    ef = setup_efficient_frontier()
    for sector in sector_upper:
        is_sector = [v == sector for k, v in sector_mapper.items()]
        ef.add_constraint(lambda w: cp.sum(w[is_sector]) <= sector_upper[sector])
    for sector in sector_lower:
        is_sector = [v == sector for k, v in sector_mapper.items()]
        ef.add_constraint(lambda w: cp.sum(w[is_sector]) >= sector_lower[sector])

After Change

        is_sector = [sector_mapper[t] == sector for t in ef.tickers]
        ef.add_constraint(lambda w: cp.sum(w[is_sector]) <= sector_upper[sector])
    for sector in sector_lower:
        is_sector = [sector_mapper[t] == sector for t in ef.tickers]
        ef.add_constraint(lambda w: cp.sum(w[is_sector]) >= sector_lower[sector])

    weights = ef.max_sharpe()

Instances