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fix riskmodel

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Dong Zhou
2020-11-10 09:47:59 +08:00
parent 307661398f
commit 1a8ef55dc7
1 changed files with 2 additions and 1 deletions
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qlib/model/riskmodel.py
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@@ -235,6 +235,7 @@ class ShrinkCovEstimator(RiskModel):
return self._get_shrink_target_const_corr(X, S) return self._get_shrink_target_const_corr(X, S)
if self.target == self.TGT_SINGLE_FACTOR: if self.target == self.TGT_SINGLE_FACTOR:
return self._get_shrink_target_single_factor(X, S) return self._get_shrink_target_single_factor(X, S)
return self.target
def _get_shrink_target_const_var(self, X: np.ndarray, S: np.ndarray) -> np.ndarray: def _get_shrink_target_const_var(self, X: np.ndarray, S: np.ndarray) -> np.ndarray:
"""get shrinking target with constant variance """get shrinking target with constant variance
@@ -275,7 +276,7 @@ class ShrinkCovEstimator(RiskModel):
"""get shrinking parameter `alpha` """get shrinking parameter `alpha`
Note: Note:
The Ledoit-Wolf shrinking parameter estimator consists of three different The Ledoit-Wolf shrinking parameter estimator consists of three different methods.
""" """
if self.alpha == self.SHR_OAS: if self.alpha == self.SHR_OAS:
return self._get_shrink_param_oas(X, S, F) return self._get_shrink_param_oas(X, S, F)