Merge pull request #531 from andyherfer/master

fixed key error when adding multiple sector constraints
robertmartin8 · Apr 30, 2023 · c687392 · c687392
2 parents 6f699fd + 3feb53a
commit c687392
Showing 1 changed file with 2 additions and 2 deletions.
diff --git a/pypfopt/base_optimizer.py b/pypfopt/base_optimizer.py
@@ -397,10 +397,10 @@ def add_sector_constraints(self, sector_mapper, sector_lower, sector_upper):
                 "Sector constraints may not produce reasonable results if shorts are allowed."
             )
         for sector in sector_upper:
-            is_sector = [sector_mapper[t] == sector for t in self.tickers]
+            is_sector = [sector_mapper.get(t) == sector for t in self.tickers]
             self.add_constraint(lambda w: cp.sum(w[is_sector]) <= sector_upper[sector])
         for sector in sector_lower:
-            is_sector = [sector_mapper[t] == sector for t in self.tickers]
+            is_sector = [sector_mapper.get(t) == sector for t in self.tickers]
             self.add_constraint(lambda w: cp.sum(w[is_sector]) >= sector_lower[sector])
 
     def convex_objective(self, custom_objective, weights_sum_to_one=True, **kwargs):