robertmartin8
efficient_risk issue with global min vol
Describe the bug I am trying to run portfolio optimization for portfolio of bonds. I am using the efficient risk function to get my portfolio. When I set that target vol to .25 I get an error with the global_min vol:
GIven this constraint, I enter a target vol of 1 and then I get the following results:
It seems strange that the vol of the optimized portfolio is lower than the global min vol.
Also no matter what target vol I enter into the function I get the same results for the optimized portfolio. I am trying to under the global_min_vol constraint and if there is a way to remove it.
It looks like the target for your risk parameter is unattainable with the given covariance matrix and return vector. Can you give me more context e.g. the number of assets, covariance matrix shape, etc? Also, could you provide a method to recreate this risk and your versions of dependencies can help diagnose the problem?
