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Hello
I want to calculate a Markowitz portfolio while using exponentially-weighted mean and covariance.
Since I wanted to use alpha rather than span, I wrote:
`alpha = 0.3`
`span_alpha = (2/alp…
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## Description
I've found that doing a query I'm forced to pick a [column] aggregate measure. I need a covariance matrix and the only way to get that is to query the array of columns/rows and …
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貼吧活動:(請查閱 [SARS-CoV-2 Timeline by 2020.02.21](https://github.com/agorahub/_meta/blob/agoran/theagora/sari/Memorandum_2020-02-21_SARS-CoV-2-Timeline_Nathan.pdf?raw=true), by Nathan :cloud: )
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Hello,
While reading the documentation for mean-variance optimization, I discovered that `efficient_return()` is used to 'Calculate the 'Markowitz portfolio,' minimizing volatility for a given goal …
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Hello, I just noticed some new failures in [tests](https://github.com/microprediction/humpday/runs/5305450677?check_suite_focus=true) I run. Perhaps this trace is useful.
For me things are working…
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**What version of OR-Tools and what language are you using?**
Version: main
Language: Python
**Which solver are you using (e.g. CP-SAT, Routing Solver, GLOP, BOP, Gurobi)**
CPLEX
**What opera…
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Hello, I'm following the instructions [here](https://developers.google.com/optimization/introduction/installing.html#requirements_unix) to build the Python library but I'm getting a compiler error.
…
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Strategies to be implemented:
Momentum:
- Successive Constant Rebalanced Portfolio
- Online Newton Update
- Online Newton Step
- Online Gradient Update
Mean Reversion:
- Anti-Correlation
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Is possible to use a user-specified covariance matrix in the portfolio optimisation, especially with regards to the HRP or HERC?
I don't see that this possible according to the documentation
ghost updated
2 years ago