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hi, thanks for the work on this. I am looking at markowitz_tuning.ipynb for the simulate() function.
def simulate(ht, ut):
ret = torch.exp(logreturn1p_dist.sample())
ht = ret * (ht + ut) <----- this line
return ht, ret
from my understanding, ht should be (ret * (ht + ut))/(ret.T @ (ht + ut)) as per formula stated for how holdings evolve in 5.3 of the paper? This formula sums to 1 (as holdings should be), while the line in code doesn't.
The text was updated successfully, but these errors were encountered:
hi, thanks for the work on this. I am looking at
markowitz_tuning.ipynb
for thesimulate()
function.from my understanding, ht should be
(ret * (ht + ut))/(ret.T @ (ht + ut))
as per formula stated for how holdings evolve in 5.3 of the paper? This formula sums to 1 (as holdings should be), while the line in code doesn't.The text was updated successfully, but these errors were encountered: