Add HRP optimizer #60
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juliapocciotti
approved these changes
Jun 21, 2021
| def __init__(self, cov_matrix: pd.DataFrame): | ||
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| self._cov_matrix = cov_matrix | ||
| self._columns = cov_matrix.columns |
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Se colocarem uma cov_matrix numpy não funciona, infelizmente esse typing nao faz verificação dinâmica
turingquant/optimizers.py
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| return seriation_columns | ||
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| def _recursive_besection(self, seriation_columns): |
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O nome dessa função é besection msm?
guilhermefgs
approved these changes
Jun 24, 2021
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Dá uma olhada nos comentários que eu deixei. Talvez seja necessário fazer alguma alteração.
Falando sobre a estrutura de diretorios, eu preferiria que optimizers fosse um diretorio, e dentro dele tivesse HierachicalRiskParity.py e Markowitz.py. Eu acho que fica mais organizado.
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