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@mirca mirca released this 25 Jul 12:24
v0.0.8
f2309df

In this release with added support to:

  • general linear equality and inequality constraints
  • optimize for the mean return
  • optimize for the volatility

The support for general linear constraints is done by passing the constraints matrices directly to the off-the-shelf QP solver. In the next release we will add scalable algorithms for this scenario, as it is done in https://github.com/dppalomar/riskParityPortfolio.

Tutorials are available at https://mirca.github.io/riskparity.py.

As always, if you have any questions, feel free to open an issue at https://github.com/mirca/riskparity.py/issues or send us an email at jvmirca@gmail.com.

Thanks,
Zé

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