deepdow
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jankrepl
Portfolio optimization with deep learning.
Hi, was wondering if someone could provide a working class that includes an LSTM/RNN in it. I wanted to explore this library with these famous networks but can't manage to...
The documentation says > computation of returns (if use_log then logarithmic else simple) - the first timestep is automatically deleted How does this function know which column is the closing...
It would be nice to have a benchmark that is just some predefined portfolio. One would construct it by passing all the weights.
Hi Jan: Happy holidays, and thanks for developing Deepdow and making it available. I ran into a problem importing Deepdow with the following error: "RuntimeError: module compiled against API version...
Hey! This is a great repo and thanks for your work @jankrepl! Can you please provide a jupyter notebook which uses the module to optimize a portfolio? Thanks!
I am trying to alter the BachelierNet and change its allocation-layer to the `NCO`-layer. I read on issue #110, that you can use the `NCO `algorithm inside the `Resample`-layer. It...
IC-variance-parity portfolio: Factor-Risk-Parity Portfolio based on Maximally Independent Factors (via ICA) [Optimal_Portfolio_ICA.pdf](https://github.com/jankrepl/deepdow/files/7101319/Optimal_Portfolio_ICA.pdf)
I seem to have error in importing cvxpy for some reason. I have looked for solutions, but I can't find the solution. Below is the error I got. I am...
Could be possible use deepdow yo second order dominance portfolios? www.kybernetika.cz/content/2008/2/243/paper.pdf https://www.wiwi.uni-konstanz.de/typo3temp/secure_downloads/85535/0/e1c9300496b7624a1c5f62720b94796f91d46780/2014-5-19_Improved_Portfolio_Choice_using_Second-order_Stochastic_Dominance_Version87.pdf https://ampl.com/MEETINGS/TALKS/2013_07_Bergamo_Wed.pdf
Hello, could be posssible learn to rank examples with deepdow? https://www.sciencedirect.com/science/article/abs/pii/S0925231217311098 https://www.researchgate.net/publication/315493458_Stock_portfolio_selection_using_learning-to-rank_algorithms_with_news_sentiment https://arxiv.org/abs/2012.07149 https://ieeexplore.ieee.org/abstract/document/7519089 https://journals.plos.org/plosone/article?id=10.1371/journal.pone.0241573