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Cleaned up Pat's PR

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robertmartin8
2020-08-31 20:09:28 +08:00
parent 49506ebeb4
commit 3ace0da7ee
8 changed files with 29 additions and 77 deletions
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8
pypfopt/base_optimizer.py
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@@ -141,14 +141,16 @@ class BaseConvexOptimizer(BaseOptimizer):
- ``save_weights_to_file()`` saves the weights to csv, json, or txt.
"""
def __init__(self, n_assets, tickers=None, weight_bounds=(0, 1), solver=None, verbose=False):
def __init__(
self, n_assets, tickers=None, weight_bounds=(0, 1), solver=None, verbose=False
):
"""
:param weight_bounds: minimum and maximum weight of each asset OR single min/max pair
if all identical, defaults to (0, 1). Must be changed to (-1, 1)
for portfolios with shorting.
:type weight_bounds: tuple OR tuple list, optional
:param solver: name of solver. list available solvers with: `cvxpy.installed_solvers()`
:type solver: str, optional (see cvxpy.Problem#_solve for default. spoiler: it's ECOS)
:param solver: name of solver. list available solvers with: ``cvxpy.installed_solvers()``
:type solver: str, optional. Defaults to "ECOS"
:param verbose: whether performance and debugging info should be printed, defaults to False
:type verbose: bool, optional
"""