257 Commits

Author	SHA1	Message	Date
phschiele	6d6df0897b	Use add_constraint	2021-05-19 00:04:01 +02:00
phschiele	e0370d4dbe	Add cvar	2021-05-18 23:54:23 +02:00
phschiele	87825236f4	Add semivariance	2021-05-18 23:49:37 +02:00
phschiele	b1bdec884b	Remove _constraint.append() from efficient frontier class	2021-05-18 20:51:27 +02:00
phschiele	538087eb61	Add parametrization of quadratic utility	2021-05-18 20:22:03 +02:00
phschiele	108e05220c	Prevent adding constraints to solved problem	2021-05-18 18:09:17 +02:00
phschiele	284e39d233	Add parametrization to efficient return	2021-05-18 18:08:54 +02:00
phschiele	de96aa83a1	Dont import cvxpy twice	2021-05-15 11:57:24 +02:00
phschiele	b866d30ce7	Use parametrized problem, discourage adding constraints after solve	2021-05-15 11:51:05 +02:00
robertmartin8	6e978cef40	packaging	2021-02-19 14:51:06 +08:00
robertmartin8	8debd04a66	improved tests	2021-02-19 14:24:29 +08:00
robertmartin8	9f4aef1013	consistent use of "optimization"	2021-02-19 14:10:06 +08:00
robertmartin8	746ababafe	reorganised docs	2021-02-19 13:38:36 +08:00
robertmartin8	72b8bdbb55	restructured submodule (fixes #290)	2021-02-19 12:13:22 +08:00
robertmartin8	388678e4c9	restructured module (fixes #290)	2021-02-19 12:12:58 +08:00
robertmartin8	057114aa8b	improved test cov to 100%	2021-02-18 20:43:01 +08:00
robertmartin8	627dc62a1c	Made cvxopt optional (#289)	2021-02-18 20:04:08 +08:00
robertmartin8	6ed1ded740	deprecate min cov det #294	2021-02-18 18:42:12 +08:00
SeaPea1	75e6730891	Merging	2021-02-16 17:26:19 +00:00
SeaPea1	c9ca6add03	Correct type of weight_bounds, as does accept list of tuples. This was already the case in test_cla_custom_bounds.	2021-02-15 19:00:47 +00:00
SeaPea1	70235ef332	Black file.	2021-02-13 16:37:18 +00:00
SeaPea1	fe9a2cab3e	Improve test coverage of DiscreteAllocation. ... Also remove some (not obviously) unreachable code and add a comment and an assert to cover the condition.	2021-02-13 16:32:49 +00:00
robertmartin8	4fe281ac1f	packaging and versioning	2021-02-13 15:35:30 +08:00
robertmartin8	654324f5ef	misc touchups	2021-02-13 15:26:48 +08:00
robertmartin8	90e730ba4b	CVaR docs	2021-02-13 15:26:05 +08:00
robertmartin8	ff6686eaea	CVaR refactor + docs	2021-02-11 17:49:52 +08:00
robertmartin8	57ff447054	CVaR passing	2021-02-11 16:19:48 +08:00
SeaPea1	f2acf3fb34	Improve test coverage of plotting.	2021-02-10 18:54:37 +00:00
Robert Martin	6cdb0ef2d8	Merge pull request #268 from nknudde/cvar ... CVaR optimization	2021-02-10 15:48:29 +08:00
robertmartin8	3e2308ed27	redesigned plot API (can pass ax)	2021-02-10 15:32:05 +08:00
robertmartin8	6bb799d823	max_return and default plot (fixes #275)	2021-02-10 13:37:34 +08:00
SeaPea1	1aa02527c1	Coverage improvements. ... Correct warning message. Harmonise return calculation.	2021-02-09 19:13:24 +00:00
robertmartin8	d34bde12f0	Revert "max_return helper method (fixes #275)" ... This reverts commit 5d9bfaddeb.	2021-02-08 15:49:08 +08:00
robertmartin8	52d8acccae	fixes #276	2021-02-08 15:47:34 +08:00
robertmartin8	5d9bfaddeb	max_return helper method (fixes #275)	2021-02-08 15:37:39 +08:00
robertmartin8	f15b8b185c	refactor bounds check to reduce duplication	2021-02-08 14:52:49 +08:00
robertmartin8	aae7153a41	removed commetned file	2021-02-01 21:30:24 +08:00
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	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	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	668f12a64f	v.1.3.0 packaging	2021-01-27 16:30:58 +08:00
robertmartin8	b5b1f6facc	added input validation	2021-01-27 16:28:24 +08:00
robertmartin8	206ca6f24a	misc improvement to docs	2021-01-25 15:05:22 +08:00
robertmartin8	f9a4be45c3	Fixed semivariance (tentatively)	2021-01-24 22:40:16 +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