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Commits on Nov 22, 2025

• update constraints definitions

  ArturSepp

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Commits on Nov 11, 2025

• fix readme figure

  ArturSepp

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Commits on Nov 9, 2025

• extend constraints analytics to incorporate utility-based tre and turnover

  ArturSepp

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Commits on Nov 2, 2025

• rename argument constraints0 to constraints; add covar_reporting() for hcgl method

  ArturSepp

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Commits on Oct 7, 2025

• fix merge_group_lower_upper_constraints()

  ArturSepp

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Commits on Oct 6, 2025

• fix date for estimate_rolling_lasso_covar

  ArturSepp

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Commits on Sep 29, 2025

• use log-returns for returns unsmoothing with AR-1

  ArturSepp

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Commits on Sep 1, 2025

• add ClusterDataByDates for covar data

  ArturSepp

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Commits on Aug 13, 2025

• add docstrings for constraints

  ArturSepp

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Commits on Aug 12, 2025

• improve merge_group_lower_upper_constraints()

  ArturSepp

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Commits on Aug 10, 2025

• add annualisation dict, depreciate is_adjust_for_newey_west

  ArturSepp

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Commits on Aug 7, 2025

• Update README.md

  ArturSepp

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• update readme

  ArturSepp

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• rename unit_tests to local_tests; add bloomberg fetch for s&p 500 universe

  ArturSepp

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Commits on Aug 3, 2025

• Create settings.yaml

  ArturSepp

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• Remove files from tracking

  ArturSepp

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• replace setup.py with pyproject.toml build; update pyproject.toml; add settings.yaml

  ArturSepp

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Commits on Aug 1, 2025

• Update README.md

  ArturSepp

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• Update README.md

  ArturSepp

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Commits on Jul 22, 2025

• add dow30 prices for examples

  ArturSepp

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Commits on Jul 21, 2025

• add returns unsmoother and example of tracking error computation

  ArturSepp

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Commits on Jul 19, 2025

• add end date for all yf.download() to comply with yfinance>=0.2.65

  ArturSepp

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Commits on Jul 15, 2025

• update inference of risk budgets

  ArturSepp

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Commits on Jul 10, 2025

• add boolean argument exclude_zero_betas=True for compute_residual_variance_r2()

  ArturSepp

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Commits on Jul 9, 2025

• Update factor_alphas.py

  ArturSepp

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• update README docs

  ArturSepp

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Commits on Jul 8, 2025

• Delete __init__.py

  ArturSepp

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• add example for Hierarchical Clustering Group Lasso (HCGL) method; rename warm_up_periods to warmup_period for consistency with qis

  ArturSepp

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Commits on Jul 5, 2025

• Update solve_risk_budgets_balanced_portfolio.py

  ArturSepp

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Commits on Jun 30, 2025

• Update setup.py

  ArturSepp

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Commits on Jun 29, 2025

• extend example in solve_risk_budgets_balanced_portfolio()

  ArturSepp

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Commits on May 26, 2025

• rename ManagerAlphas to AlphasData

  ArturSepp

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Commits on May 18, 2025

• GroupTurnoverConstraint is optional for Constraints

  ArturSepp

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Commits on Apr 21, 2025

• add example of long-short portfolios optimisation in examples/long_short_optimisation.py

  ArturSepp

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Commits on Apr 18, 2025

• update and fix all unit tests in examples

  ArturSepp

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