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