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Author SHA1 Message Date
AlexCatarino 3e4a71cd50 Creates QCAlgorithm.py: a bridge between C# QCAlgorithm and python algorithms 2018-09-17 19:05:48 +01:00
AlexCatarino b0d1606118 Refactors portfolio construction models with portfolio optimization 
- 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.
 2018-07-20 23:09:48 +01:00