Bug fixed: formula

khalil-research · Apr 25, 2024 · 352ef4e · 352ef4e
1 parent dfdbe8c
commit 352ef4e
Showing 1 changed file with 1 addition and 1 deletion.
diff --git a/pkg/pyepo/data/portfolio.py b/pkg/pyepo/data/portfolio.py
@@ -52,5 +52,5 @@ def genData(num_data, num_features, num_assets, deg=1, noise_level=1, seed=135):
         eps = rnd.randn(num_assets)
         r[i] += L @ f + 0.01 * noise_level * eps
     # covariance matrix of the returns
-    cov = L @ L.T + (1e-2 * noise_level) * np.eye(num_assets)
+    cov = L @ L.T + (1e-2 * noise_level) ** 2 * np.eye(num_assets)
     return cov, x, r