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Implements MeanVarianceOptimizationAlgorithm

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This framework algorithm alpha model is  HistoricalReturnsAlphaModel and the  portfolio construction model is MeanVarianceOptimizationPortfolioConstructionModel.
This examples implements an algorithm that rebalances the portfolio according to modern portfolio theory.
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AlexCatarino
2018-04-05 11:16:41 +01:00
parent 7d7ae4464a
commit 92238a02fc
7 changed files with 355 additions and 141 deletions
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Algorithm.Python/QuantConnect.Algorithm.Python.csproj
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@@ -141,6 +141,7 @@
</ItemGroup>
<ItemGroup>
<None Include="BasicTemplateCryptoAlgorithm.py" />
<Content Include="MeanVarianceOptimizationAlgorithm.py" />
<Content Include="BasicTemplateFrameworkAlgorithm.py" />
<Content Include="BasicTemplateLibrary.py" />
<Content Include="CustomIndicatorAlgorithm.py" />