Tuning experiments - Githubissues

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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Tuning experiments #40

Closed phschiele closed 9 months ago

phschiele commented 10 months ago

@kasperjo I merged in the latest changes from the main branch. In doing so, I've undid some changes you made to the backtest and taming files.

I think to get these experiments merged, we should:

not make any changes to the main markowitz function, which corresponds 1:1 to the paper. You can obviously add additional ones. Maybe it makes sense to collect all of the different versions (regular, hard, parametrized) in the same file?
convert the notebook to a py file
we can discuss any changes required to current scripts or classes. For example, you can create a subclass in the tuning file?

tschm commented 10 months ago

Will not perform tests with mosek