Fix missing solver for short and long portfolio allocation

robertmartin8 / PyPortfolioOpt

Financial portfolio optimisation in python, including classical efficient frontier, Black-Litterman, Hierarchical Risk Parity

https://pyportfolioopt.readthedocs.io/

MIT License

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Fix missing solver for short and long portfolio allocation #377

Closed armbruer closed 2 years ago

armbruer commented 2 years ago

lp_portfolio() without arguments defaults to GLPK_MI as solver. This results in a "Solver is not installed" error in the case that cvxopt package is not installed and only a different solver, e.g. gurobipy (GUROBI) is installed.