minimize_risk() uses “black box” utility function. The slowest part is related with multi-period optimization when the portfolio uses rebalancing strategy.
This algorithm minimizes risk (annualized standard deviation) calculating return time series of the rebaleanced portfolios with Rebalance.return_ts() method.
minimize_risk()uses “black box” utility function. The slowest part is related with multi-period optimization when the portfolio uses rebalancing strategy.This algorithm minimizes risk (annualized standard deviation) calculating return time series of the rebaleanced portfolios with
Rebalance.return_ts()method.