Risk Budget issues with zero weight input

[magadanmauler]

Problem description

Using this package to determine asset weights in a multi-asset portfolio, using specified risk budgets for each asset. Dynamic, daily calculations. However, am seeing non-zero weights for assets with zero budget...

Example

import numpy as np
import riskparityportfolio as rp # see: https://mirca.github.io/riskparity.py/
import pandas as pd

b = np.array((w1,w2,w3,w4,w5,w6,w7,w8))

my_portfolio = rp.RiskParityPortfolio(covariance=cv_matrix, budget=b)

ISSUE: if Wn = zero (i.e. the requested risk budget is ZERO), I get material NON-ZERO Wn as output from the package

Expected behavior

For a given Wn = zero, I expect the output Wn to be zero.

Environment:

• platform Windows
• riskparityportfolio version 0.4
• installation method is pip