Riskfolio > 4.0 bug in HRP constraints about riskfolio-lib HOT 5 CLOSED

Hi @feribg,

About your questions, well I chose pd.series since I added w_max and w_min parameters because it is easier to work with them when we use Graph based portfolio models. After check your code, there is no bug on Riskfolio-lib, the problem is in the pd.Series constraints you created.

Best,
Dany

from riskfolio-lib.

@dcajasn what is the problem how should those be created i get errors in both cases when the index is a sequence (0, len) and when the index is the list of assets. So how should those be constructed? When the index is a sequence the error is the assets are not in the index, when its the assets the error is the the sequence is not in the asset list...

One thing worth pointing out is that my assets are integer IDs and not strings.

from riskfolio-lib.

Check your code (list() is not a ps.Series method). There is no problems with Riskfolio-Lib. Use hrp_constraints function to build constraints.

from riskfolio-lib.

This is a superficial example the real code uses columns.tolist() etc. I literally copied the code in when w_max is none.

My w_max and min look exactly like the output described here https://riskfolio-lib.readthedocs.io/en/latest/constraints.html it's an index of asset Ids (integers) and a fixed value for all assets. I will add a mini example to see how it fails. Do you expect the index to be string? I think this is where things go wrong if its integer you assume positional index although i cant see where in the code that happens...

from riskfolio-lib.

All indexes and column names in pandas series and dataframes must be strings.

from riskfolio-lib.