Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Examples #66

Merged
merged 7 commits into from
Oct 14, 2023
Merged

Examples #66

Show file tree
Hide file tree
Changes from all commits
Commits
Show all changes
7 commits
Select commit Hold shift + click to select a range
966afbe
Update of example 1 with kdeplot
ft-adm Sep 22, 2023
23d75d4
Merge branch 'fortitudo-tech:main' into main
antonvorobets Oct 3, 2023
96c50f7
README / docs update
ft-adm Oct 8, 2023
be2302a
README / docs update
ft-adm Oct 9, 2023
c37405d
Final docs update
ft-adm Oct 10, 2023
add35e7
Merge branch 'fortitudo-tech:main' into main
antonvorobets Oct 14, 2023
c5fc52e
Examples update
ft-adm Oct 14, 2023
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
4 changes: 2 additions & 2 deletions examples/1_MeanCVaR_EntropyPooling.ipynb
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -5,7 +5,7 @@
"metadata": {},
"source": [
"# Mean-CVaR and Entropy Pooling\n",
"This example walks through the mean-CVaR and Entropy Pooling functionality by illustrating how these two technologies can be combined. For more information about Entropy Pooling and CVaR, see our articles https://ssrn.com/abstract=3936392, https://ssrn.com/abstract=4034316, and https://ssrn.com/abstract=4217884."
"This example walks through the mean-CVaR and Entropy Pooling functionality by illustrating how these two methods can be combined. For more information about Entropy Pooling and CVaR, see our articles https://ssrn.com/abstract=3936392, https://ssrn.com/abstract=4034316, https://ssrn.com/abstract=4217884, and https://ssrn.com/abstract=4444291."
]
},
{
Expand Down Expand Up @@ -183,7 +183,7 @@
"# Optimization object\n",
"The next step is to input the P&L, constraints, and probability vector into a MeanCVaR object as well as optimize portfolios.\n",
"\n",
"Note that if no equality constraints are specified through the matrix A and the vector b, the default constraint will be that the weights sum to one."
"Note that if no equality constraints are specified through the matrix A and the vector b, the default constraint will be that the weights sum to one using the self-financing constraint from https://ssrn.com/abstract=4217884."
]
},
{
Expand Down
4 changes: 2 additions & 2 deletions examples/2_EntropyPooling.ipynb
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -754,7 +754,7 @@
"metadata": {},
"source": [
"# Comments\n",
"The results for the sequential heuristics in https://ssrn.com/abstract=3936392 are not replicated as they are a part of Fortitudo Technologies' proprietary software, which also contains an elegant interface for handling the different views instead of manually specifying them through A, b, G, and h. The interested reader can replicate the results of the sequential heuristics by using the P&L simulation that follows with this package and the Entropy Pooling technology."
"The results for the sequential heuristics in https://ssrn.com/abstract=3936392 are not replicated as they are a part of Fortitudo Technologies' proprietary solutions, which also contains an elegant interface for handling the different views instead of manually specifying them through A, b, G, and h. The interested reader can replicate the results of the sequential heuristics by using the P&L simulation that follows with this package and the Entropy Pooling technology."
]
},
{
Expand Down Expand Up @@ -804,7 +804,7 @@
"name": "python",
"nbconvert_exporter": "python",
"pygments_lexer": "ipython3",
"version": "3.10.9"
"version": "3.11.5"
},
"orig_nbformat": 4,
"vscode": {
Expand Down