cvxportfolio
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cvxgrp
Portfolio optimization and back-testing.
for i,t in enumerate(returns.index[:-1]): all_return_estimates[(t,t)]= return_estimate.loc[t] tp1=returns.index[i+1] all_return_estimates[(t,tp1)]=return_estimate.loc[tp1] returns_forecast = cp.MPOReturnsForecast(all_return_estimates) #
When I ran the MultipPeriodOPtimization example, the volumes is loaded from csv.gz file and passed as a dataframe to the TCostModel setup. volumes=pd.read_csv(datadir+'volumes.csv.gz',index_col=0,parse_dates=[0]).iloc[:,:-1] .... ... simulated_tcost = cp.TcostModel(half_spread=0.0005/2., nonlin_coeff=1., sigma=sigmas,...
Hi, I've installed the packages pip. That's the only way I could get this package installed. Can this package be updated with working examples please. In the Singleperiod example, simulated_tcost...
I fix bugs in factor exposure constraints, so that specific factor exposure can be constrained dynamically(by t).
… * from definition of control variable in MultiPeriodOpt.get_trades because was not working before and this quantity will never be of variable number (always a single tuple). These changes were...
In line 75 of `returns.py` there is a call to `self.weight_expr(t, wplus)`. This should be `self.weight_expr(tau, wplus)`.
I successfully ran your Jupyter notebook examples using the daily Quandl data and was impressed with the speed; however, when I insert e.g., minutely data, the speed per minute with...
TypeErrorTraceback (most recent call last) in () 8 all_return_estimates[(t,tp1)]=return_estimate.loc[tp1] 9 ---> 10 returns_forecast = cp.MPOReturnsForecast(all_return_estimates) 11 results_MPO={} TypeError: Can't instantiate abstract class MPOReturnsForecast with abstract methods weight_expr
Hi ! Really love the framework and planning to get involved. was wanting to expand for a masters project. i am trying to run the hello world program and getting...
cvxportfolio code needs to be upgraded for cvxpy 1.0.3 (current default in PyPi). Current examples and notebook fail as expected. Any plans to upgrade and test?
