Fix TargetVol ignoring updated weights when target_volatility is numeric - #524
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kondor9 wants to merge 2 commits into
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Fix TargetVol ignoring updated weights when target_volatility is numeric#524kondor9 wants to merge 2 commits into
kondor9 wants to merge 2 commits into
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If self.target_volatility is set as a number and target.temp["weights"] changes over time, TargetVol doesn’t work correctly. In this situation, the self.target_volatility property is initialized only once, based on the weights at a specific date. When target.temp["weights"] changes, self.target_volatility does not update accordingly.
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To be more specific, the problem arises when the set of selected securities changes over time. This causes the keys in target.temp["weights"] to change as well. |
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If self.target_volatility is set as a number and target.temp["weights"] changes over time, TargetVol doesn’t work correctly. In this situation, the self.target_volatility property is initialized only once, based on the weights at a specific date. When target.temp["weights"] changes, self.target_volatility does not update accordingly.