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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 Hierarchical Risk Parity Optimizer #5

Closed moneygeek closed 4 years ago

moneygeek commented 4 years ago

Make it a child of the Optimizer class.

biskit1 commented 4 years ago

for personal reference: https://pyportfolioopt.readthedocs.io/en/latest/OtherOptimisers.html#hierarchical-risk-parity-hrp

moneygeek commented 4 years ago

Thanks, let's test that package by comparing the results with that from our code. If the results are the same, let's use the PyPortfolioOpt