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Right part of the multi-period Efficient frontier now uses a limit defined as:
“The asset with max CAGR lying to the right of the global max CAGR point (risk should be more than self.max_return['Risk']).”
This definition is realized in_max_cagr_asset_right_to_max_cagr() method.
However, this definition sometimes fails:
Correct algorithm should look for points in the outer space (to the right) of line Global Max CAGR – Max Risk Asset. In this set it should look for an asset with highest CAGR. If there are no assets to right of the line the right part of EF should be skipped.
The text was updated successfully, but these errors were encountered:
Right part of the multi-period Efficient frontier now uses a limit defined as:
“The asset with max CAGR lying to the right of the global max CAGR point (risk should be more than self.max_return['Risk']).”
This definition is realized in
_max_cagr_asset_right_to_max_cagr()
method.However, this definition sometimes fails:
Correct algorithm should look for points in the outer space (to the right) of line Global Max CAGR – Max Risk Asset. In this set it should look for an asset with highest CAGR. If there are no assets to right of the line the right part of EF should be skipped.
The text was updated successfully, but these errors were encountered: