From 352ef4e678be8a48f3690bd4ea30c7a7b82d8d29 Mon Sep 17 00:00:00 2001 From: Bo Tang Date: Thu, 25 Apr 2024 01:40:16 -0400 Subject: [PATCH] Bug fixed: formula --- pkg/pyepo/data/portfolio.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/pkg/pyepo/data/portfolio.py b/pkg/pyepo/data/portfolio.py index b7ffc666..d1b5f982 100644 --- 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