961f2292c2
Renames rebalancingParam to rebalance in PCMs
2020-05-27 20:48:29 +01:00
75ca2862e6
Address reviews
2020-02-21 16:13:28 -03:00
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
1fccf4f263
Address reviews
...
- Use `InsightCollection.GetActiveInsights`
2020-02-17 19:01:18 -03:00
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
a796f30458
Added AccumulativeInsightPortfolioConstructionModel.
2019-12-20 18:01:35 -05:00
AlexCatarino