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quantconnect--lean/Algorithm.Framework/Portfolio
Alexandre Catarino f1d55c3b0b Improves MinimumVariancePortfolioOptimizer Values Handling (#7106)
* Improves MinimumVariancePortfolioOptimizer Values Handling

The C# version of the `MinimumVariancePortfolioOptimizer` generated NaN resulting in unit tests failing.
If the solver returns NaN for an item, we set it to zero. if all items are NaN or Zero, we return the initial guess, since the sum cannot be zero.

* Fixes `RiskParityPortfolioConstructionModelTests`

We need to add insights to insight manager before we call `CreateTargets`.
2023-03-21 11:24:58 -03:00
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2021-05-06 17:23:51 -03:00