Approximate Dynamic Programming for Portfolio Selection Problem

edouardberthe, updated 🕥 2022-12-08 00:36:58

ADPPortfolioSelection

Introduction

This is the Python project corresponding to my Master Thesis "Stochastic Dyamic Programming applied to Portfolio Selection problem". My report can be found on my ResearchGate profile. This project is also in the continuity of another project, which is a study of different risk measures of portfolio management, based on Scenarios Generation.

Installation

This project uses Python version 3. However, you have to use python3.5 maximum, because you need to install gurobipy, which is the Python API of an optimisation library called Gurobi.

I strongly encourage you to install the project inside a virtualenv environment:

virtualenv -p python3.5 env
source env/bin/activate

Then, the main dependencies can be installed via pip:

pip install -r requirement.txt

You can download Gurobi on their website and install it. Then, go into the directory (for instance, /Library/gurobi702/mac64 for gurobi v7.02 for Mac 64-bits), and launch (while you're still in the python3.5 virtual environment):

python setup.py install

You should be setup to launch the project!

Issues

Bump certifi from 2017.7.27.1 to 2022.12.7

opened on 2022-12-08 00:36:58 by dependabot[bot]

Bumps certifi from 2017.7.27.1 to 2022.12.7.

Commits


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Bump numpy from 1.13.1 to 1.22.0

opened on 2022-06-21 21:10:04 by dependabot[bot]

Bumps numpy from 1.13.1 to 1.22.0.

Release notes

Sourced from numpy's releases.

v1.22.0

NumPy 1.22.0 Release Notes

NumPy 1.22.0 is a big release featuring the work of 153 contributors spread over 609 pull requests. There have been many improvements, highlights are:

  • Annotations of the main namespace are essentially complete. Upstream is a moving target, so there will likely be further improvements, but the major work is done. This is probably the most user visible enhancement in this release.
  • A preliminary version of the proposed Array-API is provided. This is a step in creating a standard collection of functions that can be used across application such as CuPy and JAX.
  • NumPy now has a DLPack backend. DLPack provides a common interchange format for array (tensor) data.
  • New methods for quantile, percentile, and related functions. The new methods provide a complete set of the methods commonly found in the literature.
  • A new configurable allocator for use by downstream projects.

These are in addition to the ongoing work to provide SIMD support for commonly used functions, improvements to F2PY, and better documentation.

The Python versions supported in this release are 3.8-3.10, Python 3.7 has been dropped. Note that 32 bit wheels are only provided for Python 3.8 and 3.9 on Windows, all other wheels are 64 bits on account of Ubuntu, Fedora, and other Linux distributions dropping 32 bit support. All 64 bit wheels are also linked with 64 bit integer OpenBLAS, which should fix the occasional problems encountered by folks using truly huge arrays.

Expired deprecations

Deprecated numeric style dtype strings have been removed

Using the strings "Bytes0", "Datetime64", "Str0", "Uint32", and "Uint64" as a dtype will now raise a TypeError.

(gh-19539)

Expired deprecations for loads, ndfromtxt, and mafromtxt in npyio

numpy.loads was deprecated in v1.15, with the recommendation that users use pickle.loads instead. ndfromtxt and mafromtxt were both deprecated in v1.17 - users should use numpy.genfromtxt instead with the appropriate value for the usemask parameter.

(gh-19615)

... (truncated)

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Bump ipython from 6.2.0 to 7.16.3

opened on 2022-01-21 18:56:40 by dependabot[bot]

Bumps ipython from 6.2.0 to 7.16.3.

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Bump urllib3 from 1.24.2 to 1.26.5

opened on 2021-06-01 21:46:25 by dependabot[bot]

Bumps urllib3 from 1.24.2 to 1.26.5.

Release notes

Sourced from urllib3's releases.

1.26.5

:warning: IMPORTANT: urllib3 v2.0 will drop support for Python 2: Read more in the v2.0 Roadmap

  • Fixed deprecation warnings emitted in Python 3.10.
  • Updated vendored six library to 1.16.0.
  • Improved performance of URL parser when splitting the authority component.

If you or your organization rely on urllib3 consider supporting us via GitHub Sponsors

1.26.4

:warning: IMPORTANT: urllib3 v2.0 will drop support for Python 2: Read more in the v2.0 Roadmap

  • Changed behavior of the default SSLContext when connecting to HTTPS proxy during HTTPS requests. The default SSLContext now sets check_hostname=True.

If you or your organization rely on urllib3 consider supporting us via GitHub Sponsors

1.26.3

:warning: IMPORTANT: urllib3 v2.0 will drop support for Python 2: Read more in the v2.0 Roadmap

  • Fixed bytes and string comparison issue with headers (Pull #2141)

  • Changed ProxySchemeUnknown error message to be more actionable if the user supplies a proxy URL without a scheme (Pull #2107)

If you or your organization rely on urllib3 consider supporting us via GitHub Sponsors

1.26.2

:warning: IMPORTANT: urllib3 v2.0 will drop support for Python 2: Read more in the v2.0 Roadmap

  • Fixed an issue where wrap_socket and CERT_REQUIRED wouldn't be imported properly on Python 2.7.8 and earlier (Pull #2052)

1.26.1

:warning: IMPORTANT: urllib3 v2.0 will drop support for Python 2: Read more in the v2.0 Roadmap

  • Fixed an issue where two User-Agent headers would be sent if a User-Agent header key is passed as bytes (Pull #2047)

1.26.0

:warning: IMPORTANT: urllib3 v2.0 will drop support for Python 2: Read more in the v2.0 Roadmap

  • Added support for HTTPS proxies contacting HTTPS servers (Pull #1923, Pull #1806)

  • Deprecated negotiating TLSv1 and TLSv1.1 by default. Users that still wish to use TLS earlier than 1.2 without a deprecation warning should opt-in explicitly by setting ssl_version=ssl.PROTOCOL_TLSv1_1 (Pull #2002) Starting in urllib3 v2.0: Connections that receive a DeprecationWarning will fail

  • Deprecated Retry options Retry.DEFAULT_METHOD_WHITELIST, Retry.DEFAULT_REDIRECT_HEADERS_BLACKLIST and Retry(method_whitelist=...) in favor of Retry.DEFAULT_ALLOWED_METHODS, Retry.DEFAULT_REMOVE_HEADERS_ON_REDIRECT, and Retry(allowed_methods=...) (Pull #2000) Starting in urllib3 v2.0: Deprecated options will be removed

... (truncated)

Changelog

Sourced from urllib3's changelog.

1.26.5 (2021-05-26)

  • Fixed deprecation warnings emitted in Python 3.10.
  • Updated vendored six library to 1.16.0.
  • Improved performance of URL parser when splitting the authority component.

1.26.4 (2021-03-15)

  • Changed behavior of the default SSLContext when connecting to HTTPS proxy during HTTPS requests. The default SSLContext now sets check_hostname=True.

1.26.3 (2021-01-26)

  • Fixed bytes and string comparison issue with headers (Pull #2141)

  • Changed ProxySchemeUnknown error message to be more actionable if the user supplies a proxy URL without a scheme. (Pull #2107)

1.26.2 (2020-11-12)

  • Fixed an issue where wrap_socket and CERT_REQUIRED wouldn't be imported properly on Python 2.7.8 and earlier (Pull #2052)

1.26.1 (2020-11-11)

  • Fixed an issue where two User-Agent headers would be sent if a User-Agent header key is passed as bytes (Pull #2047)

1.26.0 (2020-11-10)

  • NOTE: urllib3 v2.0 will drop support for Python 2. Read more in the v2.0 Roadmap <https://urllib3.readthedocs.io/en/latest/v2-roadmap.html>_.

  • Added support for HTTPS proxies contacting HTTPS servers (Pull #1923, Pull #1806)

  • Deprecated negotiating TLSv1 and TLSv1.1 by default. Users that still wish to use TLS earlier than 1.2 without a deprecation warning

... (truncated)

Commits
  • d161647 Release 1.26.5
  • 2d4a3fe Improve performance of sub-authority splitting in URL
  • 2698537 Update vendored six to 1.16.0
  • 07bed79 Fix deprecation warnings for Python 3.10 ssl module
  • d725a9b Add Python 3.10 to GitHub Actions
  • 339ad34 Use pytest==6.2.4 on Python 3.10+
  • f271c9c Apply latest Black formatting
  • 1884878 [1.26] Properly proxy EOF on the SSLTransport test suite
  • a891304 Release 1.26.4
  • 8d65ea1 Merge pull request from GHSA-5phf-pp7p-vc2r
  • Additional commits viewable in compare view


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LADPInspectionModel does not seem to work with scenarios

opened on 2019-08-24 19:45:21 by vchernat

The line https://github.com/edouardberthe/ADPPortfolioSelection/blob/4dbbb474c166eb7bc862967d3580ef49244fb5d1/adp/ladp/inspection.py#L56

does not seem to handle multiple scenarios. Not sure what the dimension of I should be for multiple scenarios case. Should be it S x N-1, where S is number of scenarios and N is number of assets in the portfolio?

Edouard Berthe

École Centrale Paris (Computer Science) The University of Queensland (Financial Mathematics) Quantitative Analyst in Hybrid Equity Derivatives

GitHub Repository Homepage

python approximate-dynamic-programming stochastic-dynamic-programming gurobipy-wheels portfolio-optimization finance python35 python3