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Validate CLA covariance invertibility#745

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Whning0513 wants to merge 1 commit into
PyPortfolio:main from
Whning0513:validate-singular-cla-covariance-737
Open

Validate CLA covariance invertibility #745
Whning0513 wants to merge 1 commit into
PyPortfolio:main from
Whning0513:validate-singular-cla-covariance-737

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@Whning0513

@Whning0513 Whning0513 commented Jun 30, 2026

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Summary

  • raise a user-facing ValueError when CLA encounters a singular covariance submatrix
  • route all CLA covariance inversions through a single helper so the behavior stays consistent
  • add a regression test covering singular covariance input for max_sharpe()

Closes #737

Testing

  • python -m pytest -q tests/test_cla.py

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[BUG] CLA crashes with LinAlgError on singular covariance matrices instead of raising a user-facing validation error

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