Changes: Finer control of the iterative algorithm and dummy variables allowed in the constraints. #31
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dppalomar
commented
May 24, 2024
dppalomar
commented
- Documentation updated for RiskParityPortfolio(), SuccessiveConvexOptimizer(), and design()
- Initial tau changed
- Sign notation in Dmat changed for consistency (it does not affect anything from the outside).
- Function design() now takes arguments verbose and control_numerical_ill_conditioning (which controls numerical issues).
- Now the linear constraints can involve dummy variables apart from the portfolio weights.
- Many more unit tests added.
1) Documentation updated for RiskParityPortfolio(), SuccessiveConvexOptimizer(), and design() 2) Initial tau changed 3) Sign notation in Dmat changed for consistency (it does not affect anything from the outside). 4) Function design() now takes arguments verbose and control_numerical_ill_conditioning (which controls numerical issues). 5) Now the linear constraints can involve dummy variables apart from the portfolio weights. 6) Many more unit tests added.
…o eigenvalue decomposition is necessary (the argument control_numerical_ill_conditioning in design() is not necessary). Also, the convergence criteria has been fixed (for cases where the variables or objective value were almost zero already).
…o eigenvalue decomposition is necessary (the argument control_numerical_ill_conditioning in design() is not necessary). Also, the convergence criteria has been fixed (for cases where the variables or objective value were almost zero already).
…n term is added to fix it.
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