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mcos
Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"
MIT License
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Bump scipy from 1.4.1 to 1.10.0
#53
dependabot[bot]
opened
1 year ago
0
Bump joblib from 0.14.1 to 1.2.0
#52
dependabot[bot]
opened
2 years ago
0
Bump numpy from 1.18.1 to 1.22.0
#51
dependabot[bot]
opened
2 years ago
0
Get Weights?
#50
gnm3000
opened
3 years ago
0
UnboundLocalError: local variable 'kmeans' referenced before assignment
#49
ccx01-start
opened
3 years ago
0
Handling detoned covariance matrix in the optimizer
#47
mjvakili
opened
4 years ago
1
implemented DetoneCovarianceTransformer
#46
moneygeek
closed
4 years ago
3
Create DetoneCovarianceTransformer
#45
moneygeek
closed
4 years ago
0
Fix hrp clustering
#44
peterwhiteenjine
closed
4 years ago
4
Updated to version 0.2.1
#43
andystanley
closed
4 years ago
0
Readme misspell and dependencies
#42
peterwhiteenjine
closed
4 years ago
0
21 jackknife resampling
#41
peterwhiteenjine
closed
4 years ago
1
Update setup.py to v0.2.0
#40
andystanley
closed
4 years ago
0
Peter jupyter notebook
#39
peterwhiteenjine
closed
4 years ago
0
18 method for price histories
#38
peterwhiteenjine
closed
4 years ago
0
fixing tests
#37
biskit1
closed
4 years ago
0
Upgrade setup.py version to v0.1.0
#36
andystanley
closed
4 years ago
0
Fix RiskParityOptimizer in test_mcos
#35
andystanley
closed
4 years ago
1
Update README.md
#34
peterwhiteenjine
closed
4 years ago
0
README Formatting
#33
andystanley
closed
4 years ago
0
Readme sample code
#32
peterwhiteenjine
closed
4 years ago
0
Peterwhiteenjine patch readme
#31
peterwhiteenjine
closed
4 years ago
0
11 implement git style hooks
#30
biskit1
closed
4 years ago
2
Risk Parity Optimizer
#29
biskit1
closed
4 years ago
5
added HRP as one of the optimizers as per ticket 5
#28
peterwhiteenjine
closed
4 years ago
0
Create tests for simulate_optimizations method
#27
andystanley
closed
4 years ago
1
Create the Sharpe Ratio Error Estimator
#26
kastkeepitjumpinlikekangaroos
closed
4 years ago
0
Create NCO Optimizer
#25
kastkeepitjumpinlikekangaroos
closed
4 years ago
0
Complete denoising step
#24
kastkeepitjumpinlikekangaroos
closed
4 years ago
3
Investigate Bayesian Markowitz
#23
moneygeek
opened
4 years ago
0
Create Mean Variance Error Estimator
#22
andystanley
closed
4 years ago
8
Create Jackknife Resampling Simulator
#21
moneygeek
closed
4 years ago
0
Create sample Jupyter notebook
#20
moneygeek
closed
4 years ago
0
Create a new output class
#19
moneygeek
opened
4 years ago
0
Create a new method that takes in price histories
#18
moneygeek
opened
4 years ago
0
Create Mean Expected Outcome Error Estimator
#17
andystanley
closed
4 years ago
0
Create Markowitz optimizer and tests
#16
andystanley
closed
4 years ago
1
Allow package to be downloaded via pip
#15
andystanley
closed
4 years ago
1
Update README
#14
moneygeek
closed
4 years ago
0
Create tests for simulate_optimizations method
#13
moneygeek
closed
4 years ago
0
Allow package to be downloaded via pip
#12
moneygeek
closed
4 years ago
0
Implement style git hooks
#11
moneygeek
closed
4 years ago
3
Create the Sharpe Ratio Error Estimator
#10
moneygeek
closed
4 years ago
2
Create the Mean Variance Error Estimator
#9
moneygeek
closed
4 years ago
0
Create the Mean Expected Outcome Error Estimator
#8
moneygeek
closed
4 years ago
0
Create factory method for Optimizers
#7
moneygeek
closed
4 years ago
0
Create factory method for Observation Simulators
#6
moneygeek
closed
4 years ago
0
Create Hierarchical Risk Parity Optimizer
#5
moneygeek
closed
4 years ago
2
Create the Risk Parity Optimizer
#4
moneygeek
closed
4 years ago
0
Create the NCO Optimizer
#3
moneygeek
closed
4 years ago
4
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