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Marigold / universal-portfolios

Collection of algorithms for online portfolio selection
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How to add leverage #24

Open dexhunter opened 5 years ago

dexhunter commented 5 years ago

Hi, just wonder if it is possible to do short or add leverage? Thanks!

jmlocatelli commented 8 months ago

Hi, just wonder if it is possible to do short or add leverage? Thanks!

Same question. Have you already figured it out how to short and add leverage?

dexhunter commented 8 months ago

Have you already figured it out how to short and add leverage?

Not sure if there are better or new solutions out there, but ours involves changing the objective function and allowing output weight to be located in a wider range (more than (0,1) ) for short it would be (-1, 1). From our experiments, it doesn't improve the result much sometimes even decreases the performance depending on the algorithm.