Update nn.py

dsman1823 · Mar 30, 2024 · bf5c701 · bf5c701
1 parent 6f61e9a
commit bf5c701
Showing 1 changed file with 1 addition and 1 deletion.
diff --git a/deepdowmine/nn.py b/deepdowmine/nn.py
@@ -46,7 +46,7 @@ def __init__(self, n_channels, lookback, n_assets, max_weight, p):
         self.linear_for_cov = torch.nn.Linear(n_features, self.n_assets * self.cov_n_rows, bias = True)
 
         self.covariance_layer = CovarianceMatrix(
-            sqrt=False, shrinkage_strategy=None
+            sqrt=True, shrinkage_strategy=None
             )
         self.portfolio_opt_layer = ThesisMarkowitzMinVar(n_assets, max_weight=max_weight)