Hi all, 

I am trying to use the SharpeRatio Optimizer for the MeanVarianceOptimization constructor model. It works mostly fine, but every now and then I got the following error:

Runtime Error: ValueError : MaximumSharpeRatioPortfolioOptimizer.portfolio_variance: Volatility cannot be zero. This is caused by the covariance matrix, which is weird because I am trading always the same assets (at least 2 every time) and it is computed over 60 days for each of them, so it is very unlikely that the variance is actually zero.

Any suggestions?

Thank you for your help!