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Description
thank you so much for your sharing. Those are really great works
I encountered issue when run "dynamic_allocation_performance_analysis.py" and other py files . I am using Python 3.5 and cvxopt 1.1.9, Could you help to look at ?
Error
Starting dynamic allocation simulation...
Traceback (most recent call last):
File "C:/Users/IBM_ADMIN/PycharmProjects/Portfolios and Risk/dynamic_allocation_performance_analysis.py", line 124, in
results = algo.run(data)
File "C:\Python35\lib\site-packages\zipline\algorithm.py", line 710, in run
for perf in self.get_generator():
File "C:\Python35\lib\site-packages\zipline\gens\tradesimulation.py", line 222, in transform
for capital_change_packet in every_bar(dt):
File "C:\Python35\lib\site-packages\zipline\gens\tradesimulation.py", line 135, in every_bar
handle_data(algo, current_data, dt_to_use)
File "C:\Python35\lib\site-packages\zipline\utils\events.py", line 214, in handle_data
dt,
File "C:\Python35\lib\site-packages\zipline\utils\events.py", line 233, in handle_data
self.callback(context, data)
File "C:/Users/IBM_ADMIN/PycharmProjects/Portfolios and Risk/dynamic_allocation_performance_analysis.py", line 85, in rebalance
sigma2_shrk, mu_shrk)
File "C:\Users\IBM_ADMIN\PycharmProjects\Portfolios and Risk\rnr_meucci_functions.py", line 280, in efficient_frontier_qp_rets
min_x = solvers.qp(S, pbar, G, h, A, b, 'coneqp', x0)['x']
File "C:\Python35\lib\site-packages\cvxopt\coneprog.py", line 4470, in qp
return coneqp(P, q, G, h, None, A, b, initvals, kktsolver = kktsolver, options = options)
File "C:\Python35\lib\site-packages\cvxopt\coneprog.py", line 2065, in coneqp
try: f = kktsolver(W)
TypeError: 'cvxopt.base.matrix' object is not callable