Original examples from the paper

Work in progress.

These are the original examples, which were also used to generate plots and results in chapter 7 of the paper. They were originally written as IPython notebook, and have been translated into Python code using the stable API of Cvxportfolio (i.e., version 1.0.0 and above).

The original notebooks are available on this branch of the repository.

Note

Currently some of them are work in progress, refer to the linked notebook if in doubt.

• 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