DynamicCRP ==> Tools.py ==> opt_weights ==> assert X.notnull().all().all()

Marigold / universal-portfolios

Collection of algorithms for online portfolio selection

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DynamicCRP ==> Tools.py ==> opt_weights ==> assert X.notnull().all().all() #60

Open ghost opened 3 years ago

ghost commented 3 years ago

DynamicCRP no longer works because of an assertion in Tools.py

Marigold commented 3 years ago

That's a safety measure I've added. It turned out dealing with missing values is trickier than I expected (results in unexpected behavior). It's often safer to backfill your data or drop missing values. Do you have any particular use case?