The exception in ignored because the generator isn't closed until it is being deleted (automatically in this case, when Python exits); the generator __del__ handler closes the generator, which triggers an exception of there is one.
The current targets are passed into the risk model for risk assessment.
The risk model is only required to return any changes required from the
point of view of the risk model. The risk adjusted targets are given
priority, and if no risk adjusted target is specified for a symbol than
the target produced by porfolio construction will be used.
Adds method overload that accept a `PyObject` to `SetAlpha`, `SetExecution`, `SetPortfolioConstruction`, `SetPortfolioSelection` and `SetRiskManagement`. In these methods, a custom model written in python will be wrapped around the respective `PythonWrapper`.
Michael Handschuh