cvxportfolio
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cvxgrp
Portfolio optimization and back-testing.
Hopefully makes design of regression forecasters manageable.
Constraint that prohibits target allocation that cost more than som limit (either in basis points or in dollars) to unwind immediately. Requires re-tooling `TransactionCost` to extract its CVXPY expression. `HoldingCost`...
In docs you state that the returns are computed as change between the next day and current day, i.e. r_t = p_{t+1} / p_{t} - 1 but in the examples...
