When running EfficientFrontier I sometimes get this error message:
cvxpy.error.DCPError: Problem does not follow DCP rules. Specifically:
The objective is not DCP. Its following subexpressions are not:
QuadForm(var1, [[0.25 0.47]
[0.47 0.20]])
This depends on the historical data.S
I verified that the data is correct and added solver_options={"warm_start":False} but problem still persists
Here is an example data that causes problem:
mu:
a=0.331931
b=0.344845
S:
a b
0.061924 0.022763
0.022763 0.038217
When running EfficientFrontier I sometimes get this error message:
cvxpy.error.DCPError: Problem does not follow DCP rules. Specifically: The objective is not DCP. Its following subexpressions are not: QuadForm(var1, [[0.25 0.47] [0.47 0.20]])
This depends on the historical data.S I verified that the data is correct and added solver_options={"warm_start":False} but problem still persists
Here is an example data that causes problem: mu: