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Published 20 hours ago • verified publisher icon robertmartin8

Feature request: incorporate Wilcox's higher moment algorithm

Open jarrodwilcox opened this issue 3 years ago • 3 comments

See github jarrodwilcox/wealthmate_lab for the jupyter notebook higher moments to get started. For background, see the current online issue of the Journal of Asset Management for the article Better Portfolios with Higher Moments..

Jarrod Wilcox

jarrodwilcox avatar Jul 22 '20 20:07 jarrodwilcox

Hi Jarrod,

Thanks for the suggestion! Hopefully will find some time towards the end of summer to investigate further. I like that you have a cvxpy implementation in addition to scipy.optimize.

Cheers, Robert

robertmartin8 avatar Jul 25 '20 05:07 robertmartin8

My pleasure.  Feel free to contact if you do.  I admire your entrepreneurial achievement.

Best

Jarrod On Jul 25, 2020, 1:54 AM -0400, Robert Martin [email protected], wrote:

Hi Jarrod, Thanks for the suggestion! Hopefully will find some time towards the end of summer to investigate further. I like that you have a cvxpy implementation in addition to scipy.optimize. Cheers, Robert — You are receiving this because you authored the thread. Reply to this email directly, view it on GitHub, or unsubscribe.

jarrodwilcox avatar Jul 25 '20 11:07 jarrodwilcox

BTW what is with Kurtosis and Skewness Anyways? Ans why are people not recommending high column count for it? https://github.com/robertmartin8/PyPortfolioOpt/issues/205 https://gist.github.com/Financioneroncios/a59aca9b97b4969ab853cfb322bdce8c

BradKML avatar Mar 16 '23 10:03 BradKML