22 Commits

Author	SHA1	Message	Date
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	7dd8661d35	fixed tests and docs	2020-01-20 20:35:36 +00:00
robertmartin8	3c87f70dc2	added error checking for target risk and return	2020-01-20 20:21:30 +00:00
robertmartin8	8f378bb5a8	initial fix for efficient_risk	2020-01-20 20:09:45 +00:00
robertmartin8	67598aebfe	maximise unconstrained quadratic utility	2019-12-12 10:39:49 +00:00
robertmartin8	a5b95ef04b	fixed bug with market neutral bounds	2019-12-11 18:02:52 +00:00
robertmartin8	dcc93f9aba	added more tests for semicov and expcov	2019-07-08 21:39:02 +08:00
robertmartin8	344d1e059c	test sign of weights	2019-07-02 15:27:13 +08:00
robertmartin8	882a559f35	fixed tests due to new sharpe calc	2019-06-28 15:06:59 +08:00
robertmartin8	308cc561ae	minor typo fix	2018-09-23 11:16:02 +01:00
robertmartin8	6a144aad46	fixed tests	2018-09-20 20:11:40 +01:00
robertmartin8	1019802cc9	made tests more robust	2018-06-10 21:46:56 +08:00
robertmartin8	7c778d4186	tests more robust	2018-06-10 21:35:23 +08:00
robertmartin8	908cd3345f	gamma is now instance variable	2018-06-09 11:31:58 +08:00
robertmartin8	6a1bab2fba	added clean_weights method	2018-06-07 19:49:49 +08:00
robertmartin8	e80ccb0824	projectwide refactor from alpha to gamma	2018-06-07 16:18:26 +08:00
robertmartin8	f0abe71581	tidied imports	2018-06-02 22:09:57 +08:00
robertmartin8	2d1aa7ad00	added type checks	2018-06-02 21:42:46 +08:00
robertmartin8	7db7f7987d	now accepts prices instead of returns	2018-06-01 10:29:29 +08:00
robertmartin8	500f56429b	test market neutral efficient risk	2018-05-31 22:32:35 +08:00
robertmartin8	ba08915524	first commit	2018-05-29 21:34:59 +08:00