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cvxgrp / markowitz-reference

This repository contains a reference implementation of the Markowitz portfolio optimization problem discussed in the paper Markowitz Portfolio Construction at Seventy.
Apache License 2.0
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Merge two functions in taming #21

Closed tschm closed 11 months ago

tschm commented 11 months ago

The functions for unconstrained Markowitz and long-only have like 99% overlap. I suggest to add a flag like

long_only = False

in the parameters and merge them into one function.

kasperjo commented 11 months ago

Fixed this in the "synthetic returns" branch