卫斯李
d16716ee1f
Fifth optimizer: mean-variance utility with an L1 turnover penalty against the previous rebalance (SLSQP, long-only simplex), so the portfolio only trades when expected improvement outweighs churn. Includes 12 seeded tests.
13 lines
473 B
Python
13 lines
473 B
Python
"""Portfolio optimizer package.
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Provides five weighting schemes:
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- equal_volatility: inverse-volatility weights
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- risk_parity: equal risk contribution (Spinu-style)
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- mean_variance: max Sharpe via scipy
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- max_diversification: maximize diversification ratio
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- turnover_aware: mean-variance utility with an L1 turnover penalty
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Select via ``optimizer`` in ``config.json``; default is off (1/N).
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Add a new optimizer by dropping a module here that exposes ``optimize()``.
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"""
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