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Make faster multi-period minimize_risk() algorithm #48

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chilango74 opened this issue Oct 7, 2022 · 0 comments
Open

Make faster multi-period minimize_risk() algorithm #48

chilango74 opened this issue Oct 7, 2022 · 0 comments

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@chilango74
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minimize_risk() uses “black box” utility function. The slowest part is related with multi-period optimization when the portfolio uses rebalancing strategy.

This algorithm minimizes risk (annualized standard deviation) calculating return time series of the rebaleanced portfolios with Rebalance.return_ts() method.
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@chilango74