Portfolio Optimization Research Repository

Authored by Andrew Hall and Seth Peterson

Getting Started

1. Create virtual environment

python -m venv .venv # Windows/Conda

python3 -m venv .venv #MacOS/Linux

2. Activate virtual environment

.venv/Scripts/activate # Windows

source .venv/bin/activate #MacOS/Linux/Conda

3. Upgrade pip

pip install --upgrade pip

4. Install requirements

pip install -r requirements.txt

Replication

Experiment Files

To run an experiment, simply execute the corresponding experiment py file from the command line as a module. Note that there should be no back slashes or .py extensions in the command.

python -m research.experiments.experiment1

Check types

mypy . --explicit-package-bases --disallow-untyped-defs