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@github-actions github-actions released this 23 Dec 14:39
· 45 commits to main since this release
v0.12.1
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PortfolioOptimisers v0.12.1

Diff since v0.11.1

Bug fixes

  • Correctness fix to drawdowns auxiliary function used for plotting.

New features

  • Add Distributionally Robust Conditional Drawdown at Risk.

  • Add Power Norm X at Risk measures.

  • Enable Drawdown at Risk for non-clustering optimisation.

Docs

  • Docs up to Fees.

Maintenance

  • Remove side effects from Y X at Risk risk measure families.

Merged pull requests:

  • New covariance estimators, new matrix processing estimators. (#49) (@dcelisgarza)
  • Improve mathematical descriptions in docs. Add power norm x at risk measure, add scenario weights to drawdown risk measures. Add distributionally robust drawdown at risk measure. (#53) (@dcelisgarza)

Closed issues:

  • JuliaRegistrator (#50)

Contributors

dcelisgarza
Assets 2
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