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jankrepl / deepdow

Portfolio optimization with deep learning.
https://deepdow.readthedocs.io
Apache License 2.0
875 stars 136 forks source link

Add sparsemax, csoftmax and csparsemax #36

Closed jankrepl closed 4 years ago

jankrepl commented 4 years ago

The same idea as SoftmaxAllocator but with additional quite useful features for portfolio optimization

Inspired by https://locuslab.github.io/2019-10-28-cvxpylayers/ however implementing via cvxpylayers (as written in the blog) is not the most efficient way to do it.