From ebba4dadb06d9b018d1a80ce14a6db18e8f52a3c Mon Sep 17 00:00:00 2001 From: Sven Serneels Date: Mon, 2 Sep 2019 15:47:32 -0400 Subject: [PATCH] Weights correctly entered --- portfolioopt/utility_functions.py | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/portfolioopt/utility_functions.py b/portfolioopt/utility_functions.py index 488898b..ff78333 100644 --- a/portfolioopt/utility_functions.py +++ b/portfolioopt/utility_functions.py @@ -90,8 +90,8 @@ def comoment_utility(weights, mean, cov, coskew, cokurt, delta1, delta2, delta3, """ utility = delta1 * (np.dot(np.transpose(weights), mean)) - \ delta2 * (np.dot(np.dot(np.transpose(weights), cov), weights)) + \ - delta3 * (np.dot(np.dot(np.transpose(x0), coskew), np.kron(x0,x0)))[0,0] - \ - delta4 * (np.dot(np.dot(np.transpose(x0), cokurt), np.kron(np.kron(x0,x0),x0)))[0,0] + delta3 * (np.dot(np.dot(np.transpose(weights), coskew), np.kron(weights,weights)))[0,0] - \ + delta4 * (np.dot(np.dot(np.transpose(weights), cokurt), np.kron(np.kron(weights,weights),weights)))[0,0] return -utility