# Sigma loading error

**URL:** <https://discuss.ampl.com/t/sigma-loading-error/896>\
**Category:** Support\
**Created:** [January 7, 2024, 6:24am UTC](https://discuss.ampl.com/t/sigma-loading-error/896 "2024-01-07T06:24:39Z")\
**Posts on this page:** 2\
**Page:** 1

<div class="post-metadata">

**Author:** ![Firdevs\_Uykun](https://sea1.discourse-cdn.com/flex019/user_avatar/discuss.ampl.com/firdevs_uykun/32/528_2.png) [@Firdevs\_Uykun](https://discuss.ampl.com/u/Firdevs_Uykun)\
**Post date:** [January 7, 2024, 6:24am UTC](https://discuss.ampl.com/t/sigma-loading-error/896/1 "2024-01-07T06:24:39Z")

</div>

I wrote multivariate minimum variance as follows  
,maxi.set[“Time”] = weekly\_returns.index  
maxi.param[“weekly\_returns”] = weekly\_returns  
maxi.param[“Sigma”]=sigma  
These have same date format but I guess I got loading error.

tscv = TimeSeriesSplit(max\_train\_size=11, test\_size=1)  
for train\_index, test\_index in tscv.split(assets):  
train\_assets = assets.iloc[train\_index]  
test\_assets = assets.iloc[test\_index]

```
    weekly_returns = train_assets.pct_change().fillna(method='bfill')
    #mean_return = weekly_returns.mean()
    
    weekly_returns["Date"] = weekly_returns.index.format()
    weekly_returns.set_index("Date", inplace=True)

    #daily_returns_test = test_assets.pct_change().dropna()
    #mean_return_test = daily_returns_test.mean()
    dfs = []
    for i, slice_df in train_assets.groupby("Date"):
        df = risk_models.risk_matrix(train_assets, method="sample_cov").stack().to_frame()
        df.reset_index(inplace=True) # Turn the index into regular data columns
        df.columns = ["Stock1", "Stock2", "S"] # Adjust column names
        df["Time"] = i # Add new column with the index of the slice
        dfs.append(df)

   # sigma = pd.concat(dfs) # Concatenate all dataframes
    #sigma.set_index(["Time", "Stock1", "Stock2"], inplace=True)
    #daily_returns_test = test_assets.pct_change().dropna()
    #mean_return_test = daily_returns_test.mean()
    maxi = AMPL()
    maxi.read("min_var_one.mod")

    maxi.set["A"] = list(assets.columns)
    maxi.set["Time"] = weekly_returns.index.values#array of dates
    maxi.param["weekly_returns"] = weekly_returns
    maxi.param["Sigma"]=sigma
    #maxi.param["mean_return"] = mean_return
    #ampl.getParameter("daily_returns").setValues(daily_returns_train.stack())
    #ampl.getParameter("mean_return").setValues(mean_return_train)
    maxi.option["solver"] = SOLVER
    maxi.solve()
    #ampl.var["w"].to_pandas()
    #ampl.get_data("w").to_pandas().plot.barh()
    #ampl.get_data["w"].to_pandas()
    weights_df_max = maxi.var["w"].to_pandas()

```

my sigma, maxi.set[“Time”] = weekly\_returns.index.values has same dates, but for time it is array format the others have index format?  
sigma=

 ![image](https://us1.discourse-cdn.com/flex019/uploads/ampl/original/1X/4791f514592c553321c1e2f041fd6bdafba222b9.png)  
 ![image](https://us1.discourse-cdn.com/flex019/uploads/ampl/original/1X/0f0001960443c2fbe77e1ee347f1bbea71a64f73.png)  
 ![image](https://us1.discourse-cdn.com/flex019/uploads/ampl/original/1X/565a926b7a7dcb19ce498370bbc744c9af08b648.png)

---

<div class="post-metadata">

**Author:** ![Firdevs\_Uykun](https://sea1.discourse-cdn.com/flex019/user_avatar/discuss.ampl.com/firdevs_uykun/32/528_2.png) [@Firdevs\_Uykun](https://discuss.ampl.com/u/Firdevs_Uykun)\
**Post date:** [January 12, 2024, 9:28am UTC](https://discuss.ampl.com/t/sigma-loading-error/896/2 "2024-01-12T09:28:25Z")

</div>

I am waiting help.Help please.