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Describe the bug
The save_weights_to_file method incorrectly parses the file extension when the file path contains multiple periods. This results in a NotImplementedError even when a supported file extension (e.g., .txt, .json, .csv) is provided.
Expected behavior
The weights should be saved to the file './exports/portfolio_weights.txt'
Code sample
import pandas as pd
from pypfopt.efficient_frontier import EfficientFrontier
from pypfopt.expected_returns import mean_historical_return
from pypfopt.risk_models import CovarianceShrinkage
# Define portfolio to optimize
PORTFOLIO_NAME = 'portfolio'
# Historical price data
portfolio_price_data = pd.read_csv(f'./exports/{PORTFOLIO_NAME}_collated.csv', parse_dates=True, index_col='Date')
# Calculate expected returns and covariance matrix
mu = mean_historical_return(portfolio_price_data)
S = CovarianceShrinkage(portfolio_price_data).ledoit_wolf()
# Create an EfficientFrontier object
ef = EfficientFrontier(mu, S)
# Optimize for maximum Sharpe ratio
weights = ef.max_sharpe()
# Clean weights
cleaned_weights = ef.clean_weights()
# Save optimized weights to file
ef.save_weights_to_file(f"./exports/{PORTFOLIO_NAME}_weights.txt")
Operating system, python version, PyPortfolioOpt version
e.g Windows 11 Pro, python 3.11.3, PyPortfolioOpt 1.5.5
Additional context
The issue comes about because the save_weights_to_file method incorrectly parses the file extension when the file path contains multiple periods. A more robust solution could be to use filename.split('.')[-1] to correctly extract the file extension. This change ensures that the method correctly identifies and handles the supported file extensions (.txt, .json, .csv).
The text was updated successfully, but these errors were encountered:
Describe the bug
The save_weights_to_file method incorrectly parses the file extension when the file path contains multiple periods. This results in a NotImplementedError even when a supported file extension (e.g., .txt, .json, .csv) is provided.
Expected behavior
The weights should be saved to the file './exports/portfolio_weights.txt'
Code sample
Operating system, python version, PyPortfolioOpt version
e.g Windows 11 Pro, python 3.11.3, PyPortfolioOpt 1.5.5
Additional context
The issue comes about because the save_weights_to_file method incorrectly parses the file extension when the file path contains multiple periods. A more robust solution could be to use filename.split('.')[-1] to correctly extract the file extension. This change ensures that the method correctly identifies and handles the supported file extensions (.txt, .json, .csv).
The text was updated successfully, but these errors were encountered: