def test_volatility():
df = get_data()
S = sample_cov(df)
w = np.array([1 / df.shape[1]] * df.shape[1])
var = objective_functions.volatility(w, S)
np.testing.assert_almost_equal(var, 0.04498224489292057)
def test_volatility_dummy():
w = np.array([0.4, 0.4, 0.2])
data = np.diag([0.5, 0.8, 0.9])
test_var = objective_functions.volatility(w, data)
np.testing.assert_almost_equal(test_var, 0.244)
def test_volatility_dummy():
w = np.array([0.4, 0.4, 0.2])
data = np.diag([0.5, 0.8, 0.9])
test_var = objective_functions.volatility(w, data)
np.testing.assert_almost_equal(test_var, 0.244)
def test_volatility():
df = get_data()
S = sample_cov(df)
w = np.array([1 / df.shape[1]] * df.shape[1])
var = objective_functions.volatility(w, S)
np.testing.assert_almost_equal(var, 0.04498224489292057)
def test_volatility():
df = get_data()
S = sample_cov(df)
w = np.array([1 / df.shape[1]] * df.shape[1])
vol = objective_functions.volatility(w, S)
np.testing.assert_almost_equal(vol, 0.21209018103844543)