Implements MeanVarianceOptimizationAlgorithm

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.
2018-04-05 11:16:41 +01:00
parent 7d7ae4464a
commit 92238a02fc
7 changed files with 355 additions and 141 deletions
@@ -75,6 +75,7 @@
    <Compile Include="main.py" />
    <Compile Include="MarginCallEventsAlgorithm.py" />
    <Compile Include="MarketOnOpenOnCloseAlgorithm.py" />
+    <Compile Include="MeanVarianceOptimizationAlgorithm.py" />
    <Compile Include="MovingAverageCrossAlgorithm.py" />
    <Compile Include="MultipleSymbolConsolidationAlgorithm.py" />
    <Compile Include="OptionChainConsistencyRegressionAlgorithm.py" />