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enjine-com / mcos

Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"
MIT License
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Create the Risk Parity Optimizer #4

Closed moneygeek closed 4 years ago

moneygeek commented 4 years ago

Make it a child of the Optimizer class.

Implementation of risk parity can be found here: https://thequantmba.wordpress.com/2016/12/14/risk-parityrisk-budgeting-portfolio-in-python/