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shayandavoodii / OnlinePortfolioSelection.jl

This package offers both traditional benchmark and newly developed Online Portfolio Selection (OPS) algorithms implementation.
https://shayandavoodii.github.io/OnlinePortfolioSelection.jl/dev/
MIT License
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Anticor may return weights with very small negative values #25

Closed shayandavoodii closed 1 year ago

shayandavoodii commented 1 year ago

Sometimes, anticor may result in very small negative values for some periods during the trading. This only happens when the input prices are so small (which is odd). However, this can be prevented.