test volatility factor

cvxgrp · Jun 20, 2023 · 11f445a · 11f445a
1 parent 3e97683
commit 11f445a
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Showing 2 changed files with 6 additions and 6 deletions.
diff --git a/cvx/risk/factor/factor.py b/cvx/risk/factor/factor.py
@@ -51,11 +51,11 @@ def estimate_risk(self, weights, **kwargs):
         """
         Compute the total variance
         """
-        var_residual = cvx.sum_squares(cvx.multiply(self.idiosyncratic_risk, weights))
+        var_residual = cvx.norm2(cvx.multiply(self.idiosyncratic_risk, weights))
 
         y = kwargs.get("y", self.exposure @ weights)
 
-        return cvx.sum_squares(self.chol @ y) + var_residual
+        return cvx.norm2(cvx.vstack([cvx.norm2(self.chol @ y), var_residual]))
 
     def update_data(self, **kwargs):
         exposure = kwargs["exposure"]

diff --git a/tests/test_risk/test_factor/test_factor.py b/tests/test_risk/test_factor/test_factor.py
@@ -36,8 +36,8 @@ def test_timeseries_model(returns):
     w = np.zeros(25)
     w[:20] = 0.05
 
-    var = model.estimate_risk(w).value
-    np.testing.assert_almost_equal(var, 8.527444810470023e-05)
+    vola = model.estimate_risk(w).value
+    np.testing.assert_almost_equal(vola, 0.00923407730537884)
 
 
 def test_minvar(returns):
@@ -86,7 +86,7 @@ def test_estimate_risk():
         upper=np.ones(20),
     )
     prob.solve()
-    assert prob.value == pytest.approx(0.01856273748192123)
+    assert prob.value == pytest.approx(0.13625197847921858)
     assert np.array(weights.value[20:]) == pytest.approx(np.zeros(5), abs=1e-6)
 
     model.update_data(
@@ -97,5 +97,5 @@ def test_estimate_risk():
         upper=np.ones(20),
     )
     prob.solve()
-    assert prob.value == pytest.approx(0.16675109055174622)
+    assert prob.value == pytest.approx(0.40835167515605786)
     assert np.array(weights.value[20:]) == pytest.approx(np.zeros(5), abs=1e-6)