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Implementation of the following recent strategy ("Transaction cost optimization for online portfolio selection") is missing from the framework, I would be glad if someone can implement this as well:
…
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Dear Catalyst Maintainers,
I'm a bit confused about the way you are calculating excess returns in
> portfolio_optimization.py
# Compute daily returns (r)
r = np.asmatrix(t_val / t…
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After applying the algorithm to very small portfolio of ~15 assets, I noticed that the covariance is very underestimated. For instance, correlation between MSCI WLD and S&P 500 was negative (!!)
M…
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Detectei que as citações indiretas sem parênteses estão separadas somente por "e", talvez por causa de uma correção de bug anterior.
Segue o exemplo mínimo:
\documentclass{article}
\usepackage{lm…
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Prezados,
Percebi as seguintes inconsistências nas citações/referências:
a) citações indiretas (\textcite{}):
a.1) trabalhos de um mesmo autor e de anos diferentes estão separados por vírgula
…
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# Environment
* Operating System: Windows 8.1 64-bit
* Python Version: 2.7.12
* zipline Version: 1.0.2
# Description of Issue
https://github.com/quantopian/research_public/blob/master/researc…
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Operating System: Windows 8.1 64-bit
Python Version: 2.7.12
zipline Version: 1.0.2
https://github.com/quantopian/research_public/blob/master/research/Markowitz-blog.ipynb
```python
from zipli…
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Hello! I am trying to employ genetic algorithms to optimize Markowitz's 'Portfolio Optimization model'. Each individual is a set of weights corresponding to the weight of a stock in a portfolio. There…
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Many practician use half of kelly amount. We'd better position half of kelly amount, too.
Ref: http://www.financial-math.org/blog/2013/10/two-tales-of-the-kelly-formula/
Two tales of the Kelly form…
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leo_lq:@好东西传送门 同求金融风险控制资料