Skip to content

Make faster multi-period minimize_risk() algorithm #48

@chilango74

Description

@chilango74

minimize_risk() uses “black box” utility function. The slowest part is related with multi-period optimization when the portfolio uses rebalancing strategy.

This algorithm minimizes risk (annualized standard deviation) calculating return time series of the rebaleanced portfolios with Rebalance.return_ts() method.

Metadata

Metadata

Assignees

No one assigned

    Labels

    No labels
    No labels

    Type

    No type

    Projects

    No projects

    Milestone

    No milestone

    Relationships

    None yet

    Development

    No branches or pull requests

    Issue actions