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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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experiments ci/cd #38

Closed tschm closed 10 months ago

tschm commented 11 months ago

One can run the experiments on a tail of the prices

phschiele commented 11 months ago

tbh, I don't think we need to run all the experiments in the CI, and I'm not a big fan of adding additional arguments just for that reason. My requirements for this repo are:

  1. Make sure the experiments in the paper are reproducible (with some set of specified version) and easy to follow.
  2. If there are major API updates in CVXPY, we can update the main markowitz function.
tschm commented 11 months ago

I had some problems with clarabel. The tests run actually on ecos. I don't want to run all experiments in ci/cd but just to make sure the code doesn't crash. I had this before...

tschm commented 11 months ago

At the moment a baby version of all experiments run in ci/cd. I would like to keep it that way as it helps to reveal problems