Rescale allocation layer
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- Dominant language
- Python
- Stars
- 1.2k
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Description
Numerical allocation layers (e.g. `NumericalMarkowitz`) might generate weights that do not satisfy the constraints. There are the following reasons for it
* small floating point differences (e.g. w_i=-1e-8 with **w>=0** constraint)
* algorithm did not converge and the underlying solver did not raise any exception
It can become an issue when using a loss that is not defined for certain values of **w**.
The cleanest solution would be to have a new allocation layer that would be called after the original allocation layer. Ideally,
it would do the following
* Perform checks and potentially raise exception
* Rescale weights to satisfy the original constraints
Contributor guide
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First steps
- Read the whole issue, then the project's contributing guide.
- Comment on the issue to say you are picking it up — it saves two people doing the same work.
- Fork the repository and make your change on a branch.
- Open a pull request that references the issue number.
Research direction
Start by locating the allocation-layer entry point and the NumericalMarkowitz implementation mentioned in the issue, then inspect how constraints and solver convergence are currently handled. Done means a post-allocation layer checks constraint violations, handles unconverged results, and rescales weights where possible without accepting invalid values.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- python
- Domain
- fintech-quant
- Issue type
- Feature
- Difficulty
- 5/5
- Estimated time
- Over a week
- Activity status
- Stale
- Clarity
- Mostly clear
- Newbie friendliness
- 35/100