Update cvar.py

qkd8059 · Dec 9, 2020 · 9ed9014 · 9ed9014
1 parent 7bef19a
commit 9ed9014
Showing 1 changed file with 2 additions and 2 deletions.
diff --git a/Optimization/cvar.py b/Optimization/cvar.py
@@ -18,8 +18,8 @@ def cvar(mu, Q, card, price_table, date, target_return, lookback,risk_appetite):
     num_paths = 100
     ## get current prices of the current date
     current_prices = price_table[date]
-    ## the time length of simulation in the unit of estimation of mu and Q. Here T represents rebalancing every 8 weeks
-    T = 1
+    ## the time length of simulation in the unit of estimation of mu and Q.
+    T = 26/lookback   #Forward looking by 0.5 year
     ## the number of time steps to take in the simulation
     N = lookback
     ## confident level for the VaR