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Enable custom Python optimizer in C# MeanVarianceOptimizationPortfolioConstructionModel (#7274)
frostbyte_neo 发布于
2023-05-25 13:15:56 +00:00 | 1409 次提交 在此版本后已推送到 master- Solve bug and add regression test
The bug was raised because, when trying to use C#
MeanVarianceOptimizationPortfolioConstructionModel from a Python
algorithm, there wasn't a constructor that accepted a portfolio optimizer
as a PyObject. Additionally, there wasn't also a Python Wrapper to wrapp
that portfolio optimizer.- Add PortfolioOptimizerPythonWrapper.cs
- Add constructor in
MeanVarianceOptimizationPortfolioConstructionModel.cs that accepts
portfolio optimizer as a PyObject - Add regression algorithms to cover the changes
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Improve constructor overload implementation
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Change implementation to follow API pattern
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Enhance implementation and add unit tests
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Enhance implementation and add more unit tests
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Enhance implementation
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