diff --git a/cvx/risk/factor/factor.py b/cvx/risk/factor/factor.py index 4395fe48..34c404a5 100644 --- a/cvx/risk/factor/factor.py +++ b/cvx/risk/factor/factor.py @@ -29,7 +29,10 @@ class FactorModel(Model): """Factor risk model""" + # number of assets assets: int = 0 + + # number of factors k: int = 0 def __post_init__(self): diff --git a/cvx/risk/linalg/cholesky.py b/cvx/risk/linalg/cholesky.py index 2d1efe72..32204b34 100644 --- a/cvx/risk/linalg/cholesky.py +++ b/cvx/risk/linalg/cholesky.py @@ -17,6 +17,8 @@ def cholesky(cov): - # upper triangular part of the cholesky decomposition - # np.linalg.cholesky(cov) is the lower triangular part + """ + upper triangular part of the cholesky decomposition + Note that np.linalg.cholesky(cov) is the lower triangular part + """ return sc.linalg.cholesky(cov)