5e56bcc41a7d147c710e57c4c764651c7e148581,pypfopt/hierarchical_portfolio.py,HRPOpt,_get_cluster_var,#Any#Any#,67

Before Change

        weights = 1 / np.diag(cov_slice)  // Inverse variance weights
        weights /= weights.sum()
        w = weights.reshape(-1, 1)
        cluster_var = np.dot(np.dot(w.T, cov_slice), w)[0, 0]
        return cluster_var

    @staticmethod
    def _get_quasi_diag(link):
        

After Change

        cov_slice = cov.loc[cluster_items, cluster_items]
        weights = 1 / np.diag(cov_slice)  // Inverse variance weights
        weights /= weights.sum()
        return np.linalg.multi_dot((weights, cov_slice, weights))

    @staticmethod
    def _get_quasi_diag(link):
        

Instances