From 185d048700909d66cc7e54f8b30de0fa165a515a Mon Sep 17 00:00:00 2001 From: Philipp Schiele <44360364+phschiele@users.noreply.github.com> Date: Thu, 11 Jan 2024 23:15:03 +0100 Subject: [PATCH 1/3] Adds citation --- README.md | 15 ++++++++++++++- 1 file changed, 14 insertions(+), 1 deletion(-) diff --git a/README.md b/README.md index d5af1fb..42dc259 100644 --- a/README.md +++ b/README.md @@ -1,6 +1,6 @@ # Markowitz Reference Implementation -This repository accompanies the paper \cite{X}. +This repository accompanies the paper [Markowitz Portfolio Construction at Seventy](https://web.stanford.edu/~boyd/papers/markowitz.html). It contains a reference implementation of the Markowitz portfolio optimization problem and the data used in the paper. Please note that the tickers of the stocks have been obfuscated to comply with the data provider's terms of use. @@ -21,3 +21,16 @@ locally and then runs the experiments defined in 'experiments.py'. The main packages used are specified in 'requirements.txt', with a frozen version of all packages and their sub-dependencies in 'requirements_frozen.txt'. We used Python 3.10.13 to run the experiments. + +## Citation +If you want to reference our work in your research, please consider using the following BibTeX for the citation: + +```BibTeX +@misc{boyd2024markowitz, + title={Markowitz Portfolio Construction at Seventy}, + author={Stephen Boyd and Kasper Johansson and Ronald Kahn and Philipp Schiele and Thomas Schmelzer}, + year={2024}, + doi = {10.48550/arXiv.2401.05080}, + url = {https://arxiv.org/abs/2401.05080} +} +``` From 7ca4f14879a7ffaf1b376a71f8bb4554679f18a4 Mon Sep 17 00:00:00 2001 From: Philipp Schiele <44360364+phschiele@users.noreply.github.com> Date: Thu, 11 Jan 2024 23:18:14 +0100 Subject: [PATCH 2/3] Fix linter --- README.md | 3 ++- 1 file changed, 2 insertions(+), 1 deletion(-) diff --git a/README.md b/README.md index 42dc259..3cb945d 100644 --- a/README.md +++ b/README.md @@ -23,11 +23,12 @@ version of all packages and their sub-dependencies in 'requirements_frozen.txt'. We used Python 3.10.13 to run the experiments. ## Citation + If you want to reference our work in your research, please consider using the following BibTeX for the citation: ```BibTeX @misc{boyd2024markowitz, - title={Markowitz Portfolio Construction at Seventy}, + title={Markowitz Portfolio Construction at Seventy}, author={Stephen Boyd and Kasper Johansson and Ronald Kahn and Philipp Schiele and Thomas Schmelzer}, year={2024}, doi = {10.48550/arXiv.2401.05080}, From 3f0009d2e623773eb6c5611e9f1936c5aa1b5903 Mon Sep 17 00:00:00 2001 From: phschiele Date: Thu, 11 Jan 2024 23:22:08 +0100 Subject: [PATCH 3/3] Remove markdown fix --- .pre-commit-config.yaml | 6 ------ 1 file changed, 6 deletions(-) diff --git a/.pre-commit-config.yaml b/.pre-commit-config.yaml index 591c78d..6fee10f 100644 --- a/.pre-commit-config.yaml +++ b/.pre-commit-config.yaml @@ -13,12 +13,6 @@ repos: args: [ --fix, --exit-non-zero-on-fix ] - id: ruff-format - - repo: https://github.com/igorshubovych/markdownlint-cli - rev: v0.35.0 - hooks: - - id: markdownlint-fix - args: [ "--ignore", "book/**/*.md" ] - - repo: https://github.com/asottile/pyupgrade rev: v3.10.1 hooks: