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Author SHA1 Message Date
SeaPea1
a2f733bfde Add a test utility to calculate EfficientFrontier weights so solver results can be checked in simple cases where the only constraint is the sum of the weights. 
Update tests accordingly, removing some hard-coded results.
 2021-02-02 18:46:45 +00:00
robertmartin8
aae7153a41 removed commetned file 2021-02-01 21:30:24 +08:00
nknudde
e44305d791 Add tests for shorting 2021-01-31 12:55:43 +01:00
nknudde
5d48e606e0 Fix solver issues 2021-01-31 12:27:41 +01:00
nknudde
61d731ad8d Inherit from EfficientFrontier + allow for shorting 2021-01-31 12:04:06 +01:00
nknudde
c4abcdb9ae Fix test 2021-01-30 22:29:20 +01:00
nknudde
042c3c50dd Add CVaR optimization + tests 2021-01-30 22:20:19 +01:00
nknudde
8d92d68f97 Merge branch 'master' into cvar 2021-01-30 18:28:41 +01:00
robertmartin8
af2aad7507 updated cookbook recipes 2021-01-29 16:50:08 +08:00
Robert Martin
78dafb43a9 Merge pull request #266 from robertmartin8/v1.3.1 
v1.3.1
 2021-01-28 19:50:29 +08:00
robertmartin8
66ce4bd548 versioning 2021-01-28 19:39:32 +08:00
robertmartin8
b960dd736f Vastly improved plotting (fixes #135) 2021-01-28 19:36:07 +08:00
robertmartin8
0f2a86da86 fixes #250 2021-01-28 19:34:55 +08:00
robertmartin8
8eb2a16c56 touchup buttons 2021-01-27 16:57:54 +08:00
robertmartin8
5cb4bb5eb7 removed travis 2021-01-27 16:55:31 +08:00
Robert Martin
8d832618fa Merge pull request #265 from robertmartin8/v1.3.0 
v1.3.0
 2021-01-27 16:40:07 +08:00
robertmartin8
668f12a64f v.1.3.0 packaging 2021-01-27 16:30:58 +08:00
robertmartin8
f057f468b2 docs 2021-01-27 16:28:35 +08:00
robertmartin8
b5b1f6facc added input validation 2021-01-27 16:28:24 +08:00
robertmartin8
d0eb3043ed fix cvxopt version 2021-01-26 14:32:23 +08:00
robertmartin8
1db3d4e3be added test for short 2021-01-26 14:32:05 +08:00
robertmartin8
206ca6f24a misc improvement to docs 2021-01-25 15:05:22 +08:00
Robert Martin
9f60ed40b2 Create main.yml 2021-01-25 14:12:30 +08:00
robertmartin8
e51ab03ec6 added workflow 2021-01-25 14:08:28 +08:00
robertmartin8
2f8e3d87ef test fix 2021-01-25 09:04:44 +08:00
robertmartin8
62a7876bf3 misc test fixes 2021-01-24 22:54:14 +08:00
robertmartin8
f9a4be45c3 Fixed semivariance (tentatively) 2021-01-24 22:40:16 +08:00
robertmartin8
b3b46274fb drop py3.5 support; better handling of optionals 2021-01-24 22:38:57 +08:00
robertmartin8
7664b0bbe7 Not working. TODO: fix freq 2021-01-23 18:10:00 +08:00
robertmartin8
a60d6ef2be added tracking error objectives 2021-01-23 16:22:16 +08:00
nknudde
4924dbe382 Add CVaR optimization 2021-01-22 18:46:52 +01:00
robertmartin8
5c4c4f0413 efficient semivariance dev 2021-01-22 22:36:21 +08:00
Robert Martin
4710fb7e19 Merge pull request #227 from phschiele/master 
Efficient Semivariance
 2021-01-22 16:07:19 +08:00
Robert Martin
fde712865d Merge branch 'v1.3.0' into master 2021-01-22 16:07:04 +08:00
Robert Martin
0b325ceff7 Merge pull request #228 from phschiele/risk-model-semivariance 
Risk model semivariance (Issue #219)
 2021-01-22 15:37:44 +08:00
Robert Martin
3d066ce471 Merge pull request #261 from arcaputo3/master 
Improve shorting during discrete allocation: fixes #259,#260
 2021-01-22 15:19:06 +08:00
Robert Martin
0a70188511 Merge branch 'v1.3.0' into master 2021-01-22 15:18:49 +08:00
robertmartin8
e788170c1b error handling to address #204 2021-01-22 15:07:09 +08:00
robertmartin8
db9dd375b5 improves risk_free_rate usability #238 2021-01-22 14:38:57 +08:00
robertmartin8
bd60134fa7 clarifies docs as per #241 2021-01-22 14:24:09 +08:00
robertmartin8
663150e410 Merge branch 'v1.3.0' of https://github.com/robertmartin8/PyPortfolioOpt into v1.3.0 2021-01-22 14:17:15 +08:00
robertmartin8
951689d3ed minor test improvements 2021-01-22 14:16:48 +08:00
Robert Martin
19bb4ea033 Merge pull request #256 from SeaPea1/fix_prices_from_returns 
expected_returns.prices_from_returns wrong when log_returns=True. fixes #255
 2021-01-22 14:16:01 +08:00
Robert Martin
a26da0475c Merge pull request #235 from shlomikushchi/patch-1 
Doc fix in `add_sector_constraints` - missing "
 2021-01-22 14:12:50 +08:00
Robert Martin
90fd200957 Merge pull request #253 from SeaPea1/coverage_1 
Minor changes to improve test coverage.
 2021-01-22 14:10:46 +08:00
Robert Martin
dfa3b1eb45 Merge pull request #234 from SeaPea1/master 
Test coverage improvements/fixes: 1) Fix for test_efficient_return_many_values function so for loop body is executed. 2) Improve test_custom_objectives.py so all its code is run. resolves #242
 2021-01-22 13:54:35 +08:00
Robert Martin
5fb08c023b Merge pull request #247 from SeaPea1/solver_2 
Solver related improvements/bug fixes:
 2021-01-22 13:15:42 +08:00
SeaPea1
57a1bce365 Test expected_returns.capm_return with non-DataFrame param. 2021-01-21 21:00:34 +00:00
Albert Richard Caputo III
0300c3ae8b fix #259,#260 2021-01-19 13:33:18 -05:00
SeaPea1
b7f39f51e2 Test expected_returns.ema_historical_return with non-DataFrame param. 2021-01-14 19:17:49 +00:00