updated the code to check the optimization status

tamilselvanarjun · Mar 17, 2024 · 484c7c2 · 484c7c2
1 parent a7c9663
commit 484c7c2
Show file tree

Hide file tree

Showing 8 changed files with 14 additions and 8 deletions.
diff --git a/build/lib/finmodels/portfolio_optimization.py b/build/lib/finmodels/portfolio_optimization.py
@@ -1,4 +1,3 @@
-# financial_models/portfolio_optimization.py
 import numpy as np
 import cvxpy as cp
 
@@ -11,7 +10,7 @@ def optimize_portfolio(expected_returns, covariance_matrix):
     - covariance_matrix: Covariance matrix of asset returns
 
     Returns:
-    - Optimal portfolio weights
+    - Optimal portfolio weights if successful, None otherwise
     """
     num_assets = len(expected_returns)
 
@@ -30,4 +29,8 @@ def optimize_portfolio(expected_returns, covariance_matrix):
     problem = cp.Problem(objective, constraints)
     problem.solve()
 
-    return weights.value
+    if problem.status == 'optimal':
+        return weights.value
+    else:
+        print("Optimization problem could not be solved.")
+        return None
diff --git a/dist/finmodels-2.0.0-py3-none-any.whl b/dist/finmodels-2.0.0-py3-none-any.whl
diff --git a/dist/finmodels-2.0.0.tar.gz b/dist/finmodels-2.0.0.tar.gz
diff --git a/dist/finmodels-2.0.1-py3-none-any.whl b/dist/finmodels-2.0.1-py3-none-any.whl
diff --git a/dist/finmodels-2.0.1.tar.gz b/dist/finmodels-2.0.1.tar.gz
diff --git a/finmodels.egg-info/PKG-INFO b/finmodels.egg-info/PKG-INFO
@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: finmodels
-Version: 2.0.0
+Version: 2.0.1
 Summary: finmodels is a Python package that provides various financial models for analysis and optimization.
 Home-page: https://github.com/arjunlimat/finmodels
 Author: Tamilselvan_Arjunan

diff --git a/finmodels/portfolio_optimization.py b/finmodels/portfolio_optimization.py
@@ -1,4 +1,3 @@
-# financial_models/portfolio_optimization.py
 import numpy as np
 import cvxpy as cp
 
@@ -11,7 +10,7 @@ def optimize_portfolio(expected_returns, covariance_matrix):
     - covariance_matrix: Covariance matrix of asset returns
 
     Returns:
-    - Optimal portfolio weights
+    - Optimal portfolio weights if successful, None otherwise
     """
     num_assets = len(expected_returns)
 
@@ -30,4 +29,8 @@ def optimize_portfolio(expected_returns, covariance_matrix):
     problem = cp.Problem(objective, constraints)
     problem.solve()
 
-    return weights.value
+    if problem.status == 'optimal':
+        return weights.value
+    else:
+        print("Optimization problem could not be solved.")
+        return None
diff --git a/setup.py b/setup.py
@@ -5,7 +5,7 @@
 
 setup(
     name='finmodels',
-    version='2.0.0',
+    version='2.0.1',
     packages=find_packages(),
     install_requires=[
         'numpy',