Commit Graph

13 Commits

Author SHA1 Message Date
AlexCatarino 961f2292c2 Renames rebalancingParam to rebalance in PCMs 2020-05-27 20:48:29 +01:00
Martin Molinero 75ca2862e6 Address reviews 2020-02-21 16:13:28 -03:00
Martin Molinero 983d84bf01 Implement PortfolioBias for MVOPCM, BLOPCM, AIPCM
- Implement portfolio bias for
`MeanVarianceOptimizationPortfolioConstructionModel`,
`BlackLittermanOptimizationPortfolioConstructionModel`,
`AccumulativeInsightPortfolioConstructionModel`. Adding unit tests
2020-02-21 12:12:59 -03:00
Martin Molinero a8120c197a Improvements
- Adding new unit test for python PCM implementations, asserting each
method is correctly called
- Reverting some unrequired changes in the
`MeanVarianceOptimizationFrameworkAlgorithm`
2020-02-20 12:13:47 -03:00
Martin Molinero 8ff23936d1 Refactor EWPCM into base PCM
- Refactor shared logic from `EqualWeightingPortfolioConstructionModel`
into base `PortfolioConstructionModel` implementation
- `MeanVarianceOptimizationPortfolioConstructionModel` will respect
rebalancing period and will use all active inisights, not just the last
2020-02-19 15:13:20 -03:00
Martin Molinero 1fccf4f263 Address reviews
- Use `InsightCollection.GetActiveInsights`
2020-02-17 19:01:18 -03:00
Martin Molinero 0ff713d8f9 Refactor AccumulativeInsight PCM
- Refactor AccumulativeInsightPortfolioConstructionModel to inherit from
the EWPCM, reducing code duplication and adding support for rebalancing
period
- Fixing bug where only 1 new insight per symbol was processed per loop
- Adding unit tests
2020-02-17 16:09:16 -03:00
Jeff Ward ad642bb951 Fixed typo and type mismatch. 2020-01-14 12:34:45 -05:00
Jeff Ward c738dc7d22 Fixed CI build errors. 2020-01-14 12:10:18 -05:00
Jeff Ward 8d9f68370a Added missing parenthesis. 2020-01-14 11:49:50 -05:00
Jeff Ward 8c7d63e80c Implemented 2nd code review changes. 2020-01-14 11:37:40 -05:00
Jeffrey Ward a296d346a4 Pull request fixes. 2019-12-20 18:01:35 -05:00
Jeffrey Ward a796f30458 Added AccumulativeInsightPortfolioConstructionModel. 2019-12-20 18:01:35 -05:00