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portfolio_programming		portfolio_programming
sample		sample
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LICENSE		LICENSE
README.md		README.md
ipcluster_ssh.sh		ipcluster_ssh.sh
linux_set_path.sh		linux_set_path.sh

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portfolio programming

mathematical programming of portfolio

python >=3.5
required packages:
- numpy
- scipy
- pandas
- xarray
- pyomo
- cython
- arch (pip install git+https://github.com/bashtage/arch.git)
- netCDF4 (for xarray)
optional packages:
- pytorch

nosetests .

MSVC compiler for windows https://github.com/cython/cython/wiki/CythonExtensionsOnWindows

Win 10 SDK https://developer.microsoft.com/zh-tw/windows/downloads/windows-10-sdk

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mathematical programming of portfolio

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