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add support for arbitrary, user-provided objective term #14

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mirca opened this issue May 17, 2019 · 0 comments
Open

add support for arbitrary, user-provided objective term #14

mirca opened this issue May 17, 2019 · 0 comments
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enhancement New feature or request
Milestone
v0.3

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@mirca
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mirca commented May 17, 2019

For that to be accomplished the user has to provide:

  • a function f which takes the portfolio weights (and possibly additional parameters) as input
  • gradient of f
  • hessian of f

For the gradient and the hessian we may be able to take advantage of automatic differentiation.

cc @dppalomar
@mirca mirca added the enhancement New feature or request label May 17, 2019
@mirca mirca added this to the v0.2 milestone May 17, 2019
@mirca mirca changed the title add support for arbitrary user-provided objective term add support for arbitrary, user-provided objective term May 27, 2019
@mirca mirca modified the milestones: v0.2, v0.3 Sep 1, 2019
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