Examples

Many example scripts are available in the code repository. We show some of them, along with their results, in the following pages:

• Hello World Example
• Case-Shiller multi-period
• DOW30 monthly
• Timing of Back-Test
• Stock universes
• Data cleaning
• Wide asset classes ETFs
• User-provided forecasters
• Risk Models Comparison
• Market-Neutral Portfolio
• Market-Neutral Portfolio (Without Costs)
• Original examples from the paper
  • Hello World (original)
  • Data and risk model estimates
  • Multi-period Optimization Example
  • Portfolio simulation
  • Ranking and SPO
  • Real-time optimization
  • Single-period optimization
  • Single-period optimization with linear transaction cost
  • Solution time