cvxportfolio

cvxportfolio copied to clipboard

values_in_time breaks with a null value for tau

1

Not sure what is happening but I had to modify my values_in_time code to looks like the following to address the slicing with a null tau value (note the added...

thayes75

Exception: Invalid dimensions for arguments.

1

run "SinglePeriodOptimization.ipynb" and got the error: ValueError: Cannot broadcast dimensions (60, 432) (432,) --------------------------------------------------------------------------- RemoteTraceback Traceback (most recent call last) RemoteTraceback: """ Traceback (most recent call last): File "/Users/che.guan/opt/anaconda3/lib/python3.7/site-packages/multiprocess/pool.py", line...

CharlesGuan

null_checker requires extra np.any()

3

I'm wondering if it's perhaps a result of new pandas behaviour, but I had to change the null_checker (line 29 in data_management.py) to read as: ` if np.any( np.any(np.any(pd.isnull(obj))) ):`...

thayes75

SimulationResult object contains policy and simulator objects. Both take a lot of spaces. This is causing problem if we run parameter tuning codes because many SimulationResult object will be created...

kch382001

I am trying to follow the paper to set up factor neutral soft constraint as objective cost in Multi-Period-Optimization. From the resulting trade schedule, you can see that for the...

kch382001

MPO with monotonic trade direction

1

I have a question. If we use MPO in liquidation context with alpha estimation. Say if my initial position is: long symbol A and short symbol B, and I have...

kch382001

I suggest to add in support for time-varying factor exposure support in FactorMaxLimit and FactorMinLimit constraints. By doing so, user can pass in factor exposures as Pandas panel data with...

kch382001

Can not set attribute Error in get_trades when adding terminal_weights constraint in MPO example

2

The terminal_weights setup in MultiPeriodOpt example seems to fail when calling run_backtest function. python 3.6 + cvxportfolio 0.05 + cvxpy 1.0.25 + numpy 1.17.1 + pandas 0.22.0. ``` terminal_weights =...

kch382001

Error out on Policy.py when running MPO example

5

When running MPO example, I got error message on this line in policy.py file: z = cvx.Variable(*w.size) #----- Error Out wplus = w + z It looks like the line...

kch382001

Incorrect Constraint In Both Single and Multiperiod Optimization

1

Both the single period and multiperiod optimization policies include the self-financing condition as a constraint. However, the self-financing condition in the program is only $\sum_i u_t^i = 0$, but should...

tyler-abbot