41 Commits

Author	SHA1	Message	Date
robertmartin8	654324f5ef	misc touchups	2021-02-13 15:26:48 +08:00
robertmartin8	0f2a86da86	fixes #250	2021-01-28 19:34:55 +08:00
robertmartin8	206ca6f24a	misc improvement to docs	2021-01-25 15:05:22 +08:00
robertmartin8	5c4c4f0413	efficient semivariance dev	2021-01-22 22:36:21 +08:00
robertmartin8	db9dd375b5	improves risk_free_rate usability #238	2021-01-22 14:38:57 +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
SeaPea1	75b5672560	Solver related improvements/bug fixes: ... 1) Remove incorrect doc that default solver is "ECOS". fixes #244 2) Allow solver configuration paramaters to be specified. fixes #245 3) Specify/override solver defaults when defaults not compatible with the tolerances used in the unit tests. #246 4) Add some unit testing of a boundary case for efficient frontier, which unearthed the issues fixed here.	2021-01-07 18:50:18 +00:00
Shlomi Kushchi	3cfa36d5e1	doc fix: missing "	2020-12-21 10:41:26 +02:00
robertmartin8	3ace0da7ee	Cleaned up Pat's PR	2020-08-31 20:09:28 +08:00
Robert Martin	2afc244c7f	Merge branch 'v1.2.5' into master	2020-08-31 19:59:21 +08:00
robertmartin8	f2d98e6924	Expose initial_guess (Fixes #183)	2020-08-31 13:32:47 +08:00
robertmartin8	70221eb031	Expose cvxpy DCP trace in case of error (#173)	2020-08-29 14:17:56 +08:00
Pat Newell	53b048ae77	Promote Solver & Verbose to Constructor Options; internals are now private	2020-08-10 12:57:00 -04:00
Pat Newell	19320d229b	Make Verbose Option a Hidden API	2020-08-01 07:19:17 -04:00
Pat Newell	38a61643e2	Allow Verbose as an Option to cvxpy.Problem#solve	2020-07-29 16:49:16 -04:00
robertmartin8	95fd0b3245	change dict to OrderedDict to support py3.5	2020-06-07 14:11:52 +08:00
robertmartin8	8d991da378	Hidden API for changing solver	2020-06-07 13:22:16 +08:00
robertmartin8	3473845ce6	fix sector constraint bug	2020-04-28 22:39:46 +08:00
robertmartin8	2bda7e5dd9	sector constraints #10	2020-04-28 16:02:11 +08:00
robertmartin8	4f2d76e3e7	improved plotting	2020-04-14 22:28:13 +08:00
robertmartin8	31684f211f	updated docs	2020-04-10 11:08:15 +08:00
robertmartin8	85f83ac6f8	fixes #82 – pass None as expected returns	2020-04-10 11:05:22 +08:00
robertmartin8	80b3db963b	major updates to docs	2020-03-18 23:07:25 +00:00
robertmartin8	7654610b05	misc refactors	2020-03-17 16:47:10 +00:00
robertmartin8	eaae099efc	migrated efficient frontier #77	2020-03-16 10:40:15 +00:00
robertmartin8	44f3d3dee9	migrated efficient risk #77	2020-03-15 19:06:24 +00:00
robertmartin8	8b337fa3af	migrated max_sharpe to cvxpy	2020-03-15 12:59:01 +00:00
robertmartin8	a6b8df3bcb	migrated min_vol to cvxpy (with l2 reg)	2020-03-14 22:00:54 +00:00
robertmartin8	bad3c0cf7d	added hidden API for opt_method	2020-01-20 20:46:35 +00:00
robertmartin8	23add87b1f	improved docstrings	2019-12-12 10:13:22 +00:00
robertmartin8	d4f3624bd8	added save_weights_to_file (#54)	2019-12-10 22:48:25 +00:00
robertmartin8	6db226b2d5	per-asset bounds	2019-12-10 21:58:25 +00:00
robertmartin8	fee1268db5	updated inline docs with types	2019-12-10 18:53:13 +00:00
Pat Newell	0dfc183fd0	Allow None as rounding precision	2019-07-16 12:30:37 -04:00
robertmartin8	6998b15add	docs for custom optimisers	2019-07-02 16:10:50 +08:00
robertmartin8	15323441ba	improved docs of refactor	2019-07-02 15:27:57 +08:00
robertmartin8	882a559f35	fixed tests due to new sharpe calc	2019-06-28 15:06:59 +08:00
Tomas	4d09ba9864	Fixed portfolio_performance function which while calling objective_functions.negative_sharpe function passed risk_free_rate as gamma argument for L2 regularization instead of risk free rate.	2019-03-26 20:56:02 +01:00
robertmartin8	f0672e6613	updated docstring	2019-03-20 21:06:27 +00:00
Dingyuan Wang	3c4dad8517	refactor base_optimizer structure	2019-01-26 00:19:44 +08:00
robertmartin8	3db090ab96	all opt now inherits from base optimizer	2018-09-11 16:23:26 +01:00