Hello World example

[MBKraus]

Hi,

I went through the "Hello World" example via Jupyter notebook, but when defining SPO policy it does not recognize "return_forecast". After leaving this parameter out it says that the "alpha_model" needs to be given. I assumed that this is the same parameter as "return_forecast" and assigned "r_hat" to it, but this gives an AssertionError. Could you kindly tell me whether something has changed to the policy parameters?

NB - it seems the policies.py for the stand-alone module (v. 0.02 installed) differs from the policies.py on GitHub, which might be causing this issue.

Many thanks & best regards,

Mike Kraus

[ghost]

Mike

the issue has been fixed in the repo, and I just updated the version in pypi (i.e., pip). You can also use the repo directly:

git clone https://github.com/cvxgrp/cvxportfolio.git
cd cvxportfolio
conda env create -f test_environment.yml
source activate cvxportfolio-testing
jupyter notebook

and then run the examples. Or, install the package
python setup.py install