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CHANGELOG.rst

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Changelog

Version 0.0.6

  • Repair some bugs.
  • Implement bootstrapping methods to estimate box and elliptical uncertainty sets for Worst Case Optimization.
  • Implement Worst Case Mean Variance Portfolio Optimization using box and elliptical uncertainty sets.

Version 0.0.5

  • Repair some bugs.
  • Implement Risk Parity Portfolio Optimization for 7 convex risk measures.

Version 0.0.4

  • Repair some bugs.
  • Update to make it compatible with cvxpy >=1.1.0
  • Implement Principal Component Regression for loadings matrix estimation.
  • Add Akaike information criterion, Schwarz information criterion, R squared and adjusted R squared feature selection criterions in stepwise regression.

Version 0.0.3

  • Repair some bugs.
  • Implement an option for building constraints common for all assets classes.

Version 0.0.2

  • Repair some bugs.

Version 0.0.1

  • Implement robust estimates and ewma estimates.
  • Implement Black Litterman model and risk factors models.
  • Implement mean risk optimization with 10 risk measures.