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@github-actions github-actions released this 29 Jan 10:09
· 41 commits to main since this release
v0.14.2
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PortfolioOptimisers v0.14.2

Diff since v0.14.1

Bug fixes

  • Fixed a critical bug where HighOrderPrior was computing coskewness and cokurtosis from the adjusted returns matrix (pr.X) instead of the original returns matrix (X), causing incorrect higher-order moment calculations

Docs

  • Added detailed interface documentation with examples for AbstractCovarianceEstimator, AbstractVarianceEstimator, AbstractMatrixProcessingEstimator, AbstractMatrixProcessingAlgorithm, AbstractPosdefEstimator, AbstractDetoneEstimator, and AbstractDenoiseEstimator

  • Added two comprehensive examples "Risk Factor Optimisation" and "Improving Moment Estimation"

  • Improved front facing and docs readmes.

Maintenance

  • Refactored matrix processing, denoise, detone, and posdef functions to return the modified matrix instead of nothing, improving consistency and usability

  • Replaced sort! with sort in OWA risk measures to avoid mutating input vectors

  • Made the argument checks for linear constraint generation and Black Litterman view generation internally consistent.

Merged pull requests:

  • Fix bug in high order prior. Add more docs. Arrive at the standard for interfaces docs. (#65) (@dcelisgarza)

Contributors

dcelisgarza
Assets 2
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