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LADPInspectionModel does not seem to work with scenarios #1

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vchernat opened this issue Aug 24, 2019 · 1 comment
Open

LADPInspectionModel does not seem to work with scenarios #1

vchernat opened this issue Aug 24, 2019 · 1 comment

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@vchernat
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vchernat commented Aug 24, 2019

The line https://github.com/edouardberthe/ADPPortfolioSelection/blob/4dbbb474c166eb7bc862967d3580ef49244fb5d1/adp/ladp/inspection.py#L56

does not seem to handle multiple scenarios. Not sure what the dimension of I should be for multiple scenarios case. Should be it S x N-1, where S is number of scenarios and N is number of assets in the portfolio?

@vchernat
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Maybe this line is wrong ?
https://github.com/edouardberthe/ADPPortfolioSelection/blob/4dbbb474c166eb7bc862967d3580ef49244fb5d1/adp/ladp/updater.py#L37
GaussianGenerator.generate() seems to require number of scenarios S and yet in the line above it is called without any parameters

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