OptimizationError: Please check your objectives/constraints or use a different solver.

[indilyone]

What are you trying to do?
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What have you tried?

What data are you using?
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In this excel, the returns are in sheet "sheet1" and covariance matrix is in sheet "cov".

I am trying to do a basic mean variance optimization using ef.min_volatility() but errors

OptimizationError: Please check your objectives/constraints or use a different solver.

I also tried using non-convex optimization in the cookbook example, but the result ended up being the 1/n weights.

target_risk = 0.05
ef = EfficientFrontier(mu, S, weight_bounds=(0, 0.5))

Weights sum to zero

weight_constr = {"type": "eq", "fun": lambda w: np.sum(w)-1}

Portfolio vol less than target vol

risk_constr = {
"type": "eq",
"fun": lambda w: target_risk ** 2 - np.dot(w.T, np.dot(ef.cov_matrix, w)),
}
constraints = [weight_constr, risk_constr]

ef.nonconvex_objective(
lambda w, mu: -w.T.dot(mu), # min negative return i.e max return
objective_args=(ef.expected_returns,),
weights_sum_to_one=True,
constraints=constraints,

)

weights = ef.clean_weights()
weights

COV.xlsx