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add support for arbitrary, user-provided objective term

Open mirca opened this issue 5 years ago • 0 comments

For that to be accomplished the user has to provide:

  • a function f which takes the portfolio weights (and possibly additional parameters) as input
  • gradient of f
  • hessian of f

For the gradient and the hessian we may be able to take advantage of automatic differentiation.

cc @dppalomar

mirca avatar May 17 '19 15:05 mirca