More parameters for optimization

You can now pick specific expected return and risk models. Here is a list of the ones you can use:

Expected return

  • mean_historical_return

  • ema_historical_return

  • capm_return

Risk model

  • sample_cov

  • semicovariance

  • exp_cov

  • ledoit_wolf

  • ledoit_wolf_constant_variance

  • ledoit_wolf_single_factor

  • ledoit_wolf_constant_correlation

  • oracle_approximating

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