- Reduce MinimumVariancePortfolioOptimizar precision goal so that both
CSharp and Py MeanVarianceOptimizationFrameworkAlgorithm return the same
results
- Limit factor file dates in factor file generator unit test
Add a multi-dimensional array of double representing the covariance. Some models, e.g., Black-Litterman may want to optimize a covariance that is different from the historical one.
Adds UnconstrainedMeanVariancePortfolioOptimizer: a simple optimizer that has a solution, therefore no numerical optimization method is required.
- Creates `MinimumVariancePortfolioOptimizer` and `MaximumSharpeRatioPortfolioOptimizer` portfolio optimizer. They implement `Optimize` method that returns a array of float representing the portfolio weights.
- Refactors `BlackLittermanOptimizationPortfolioConstructionModel` and `MeanVarianceOptimizationPortfolioConstructionModel` to use the portfolio optimizers. Part of the logic in BLOPC was changed to match the MVOPC one.
- Adds `BlackLittermanPortfolioOptimizationFrameworkAlgorithm` similar to `MeanVarianceOptimizationFrameworkAlgorithm` that uses BLOPC.
Martin Molinero