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Raise a clearer error when CLA receives a singular covariance matrix#741
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Whning0513 wants to merge 1 commit into
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Raise a clearer error when CLA receives a singular covariance matrix #741Whning0513 wants to merge 1 commit into
Whning0513 wants to merge 1 commit into
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Fixes #737.
CLA.max_sharpe()currently lets singular covariance submatrices fall through tonp.linalg.inv, which surfaces a rawLinAlgError: Singular matrixfrom NumPy.This wraps the CLA matrix inversions in a small helper so the failure becomes a user-facing
ValueErrorthat explains the current CLA implementation needs an invertible covariance matrix. I also added a regression test covering a perfectly correlated two-asset covariance matrix.