merge

.devcontainer/Dockerfile

@@ -0,0 +1,4 @@
+FROM mcr.microsoft.com/devcontainers/python:1-3.9-bookworm
+
+RUN pipx install poetry && \
+    poetry config virtualenvs.in-project true

.devcontainer/devcontainer.json

@@ -1,7 +1,7 @@
 {
-	"name": "Python 3",
+	"name": "cvxmarkowitz",
 	// Or use a Dockerfile or Docker Compose file. More info: https://containers.dev/guide/dockerfile
-	"image": "mcr.microsoft.com/devcontainers/python:1-3.9-bookworm",
+	"build": { "dockerfile": "Dockerfile" },
 	"onCreateCommand": ".devcontainer/startup.sh",
 	"customizations": {
 		"vscode": {

.devcontainer/startup.sh

@@ -1,5 +1,3 @@
 #!/bin/bash
-pipx install poetry
-poetry config virtualenvs.in-project true
 poetry install
 poetry run pre-commit install

.github/workflows/basic.yml

@@ -21,3 +21,6 @@ jobs:
     # Uncomment once the package is public
     - name: Coveralls GitHub Action
       uses: coverallsapp/github-action@v2
+      with:
+        files: artifacts/tests/coverage/coverage.info
+        format: lcov

.github/workflows/ci.yml

@@ -11,7 +11,7 @@ jobs:
     strategy:
       matrix:
         os: [ ubuntu-latest, windows-latest, macos-latest ]
-        python-version: ['3.8', '3.9', '3.10' ]
+        python-version: ['3.9', '3.10', '3.11' ]
 
     # Steps represent a sequence of tasks that will be executed as part of the job
     steps:

.pre-commit-config.yaml

@@ -23,6 +23,10 @@ repos:
       - id: markdownlint-fix
         args: [ "--ignore", "book/**/*.md" ]
 
+  - repo: https://github.com/asottile/pyupgrade
+    rev: v3.10.1
+    hooks:
+      - id: pyupgrade
 
   - repo: 'https://github.com/pre-commit/mirrors-mypy'
     rev: v1.4.1
@@ -31,24 +35,24 @@ repos:
         files: cvx
         args: [ --strict, --ignore-missing-imports, --explicit-package-bases ]
 
-
-  # enforcing the use of new python syntax with pyupgrade
-  - repo: https://github.com/asottile/pyupgrade
-    rev: v3.10.1
-    hooks:
-      - id: pyupgrade
-
   - repo: https://github.com/python-jsonschema/check-jsonschema
     rev: 0.26.3
     hooks:
       - id: check-dependabot
-        args: ['--verbose']
-
+        args: ["--verbose"]
       - id: check-github-workflows
-        args: ['--verbose']
+        args: ["--verbose"]
+
+  #- repo: https://github.com/python-poetry/poetry
+  #  rev: '1.6.1'  # add version here
+  #  hooks:
+  #    - id: poetry-check
+  #    - id: poetry-lock
 
-  - repo: https://github.com/python-poetry/poetry
-    rev: '1.6.1'  # add version here
+  - repo: https://github.com/Lucas-C/pre-commit-hooks
+    rev: v1.5.4
     hooks:
-      - id: poetry-check
-      - id: poetry-lock
+        - id: insert-license
+          files: ^(cvx)
+          args:
+            ['--license-filepath', 'copyright.txt', '--no-extra-eol']

LICENSE

@@ -174,17 +174,3 @@
       of your accepting any such warranty or additional liability.
 
    END OF TERMS AND CONDITIONS
-
-   Copyright 2023 Stanford University Convex Optimization Group
-
-   Licensed under the Apache License, Version 2.0 (the "License");
-   you may not use this file except in compliance with the License.
-   You may obtain a copy of the License at
-
-       http://www.apache.org/licenses/LICENSE-2.0
-
-   Unless required by applicable law or agreed to in writing, software
-   distributed under the License is distributed on an "AS IS" BASIS,
-   WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
-   See the License for the specific language governing permissions and
-   limitations under the License.

copyright.txt

@@ -0,0 +1,13 @@
+   Copyright 2023 Stanford University Convex Optimization Group
+
+   Licensed under the Apache License, Version 2.0 (the "License");
+   you may not use this file except in compliance with the License.
+   You may obtain a copy of the License at
+
+       http://www.apache.org/licenses/LICENSE-2.0
+
+   Unless required by applicable law or agreed to in writing, software
+   distributed under the License is distributed on an "AS IS" BASIS,
+   WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+   See the License for the specific language governing permissions and
+   limitations under the License.

cvx/linalg/__init__.py

@@ -1,3 +1,16 @@
+#    Copyright 2023 Stanford University Convex Optimization Group
+#
+#    Licensed under the Apache License, Version 2.0 (the "License");
+#    you may not use this file except in compliance with the License.
+#    You may obtain a copy of the License at
+#
+#        http://www.apache.org/licenses/LICENSE-2.0
+#
+#    Unless required by applicable law or agreed to in writing, software
+#    distributed under the License is distributed on an "AS IS" BASIS,
+#    WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+#    See the License for the specific language governing permissions and
+#    limitations under the License.
 """Linalg module"""
 from __future__ import annotations
 

cvx/linalg/cholesky.py

@@ -1,3 +1,16 @@
+#    Copyright 2023 Stanford University Convex Optimization Group
+#
+#    Licensed under the Apache License, Version 2.0 (the "License");
+#    you may not use this file except in compliance with the License.
+#    You may obtain a copy of the License at
+#
+#        http://www.apache.org/licenses/LICENSE-2.0
+#
+#    Unless required by applicable law or agreed to in writing, software
+#    distributed under the License is distributed on an "AS IS" BASIS,
+#    WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+#    See the License for the specific language governing permissions and
+#    limitations under the License.
 """Cholesky decomposition with numpy"""
 from __future__ import annotations
 

cvx/linalg/pca.py

@@ -1,3 +1,16 @@
+#    Copyright 2023 Stanford University Convex Optimization Group
+#
+#    Licensed under the Apache License, Version 2.0 (the "License");
+#    you may not use this file except in compliance with the License.
+#    You may obtain a copy of the License at
+#
+#        http://www.apache.org/licenses/LICENSE-2.0
+#
+#    Unless required by applicable law or agreed to in writing, software
+#    distributed under the License is distributed on an "AS IS" BASIS,
+#    WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+#    See the License for the specific language governing permissions and
+#    limitations under the License.
 """PCA analysis with numpy"""
 from __future__ import annotations
 

cvx/linalg/random.py

@@ -1,3 +1,16 @@
+#    Copyright 2023 Stanford University Convex Optimization Group
+#
+#    Licensed under the Apache License, Version 2.0 (the "License");
+#    you may not use this file except in compliance with the License.
+#    You may obtain a copy of the License at
+#
+#        http://www.apache.org/licenses/LICENSE-2.0
+#
+#    Unless required by applicable law or agreed to in writing, software
+#    distributed under the License is distributed on an "AS IS" BASIS,
+#    WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+#    See the License for the specific language governing permissions and
+#    limitations under the License.
 import numpy as np
 
 from cvx.linalg.types import Matrix

cvx/linalg/types.py

@@ -1,3 +1,16 @@
+#    Copyright 2023 Stanford University Convex Optimization Group
+#
+#    Licensed under the Apache License, Version 2.0 (the "License");
+#    you may not use this file except in compliance with the License.
+#    You may obtain a copy of the License at
+#
+#        http://www.apache.org/licenses/LICENSE-2.0
+#
+#    Unless required by applicable law or agreed to in writing, software
+#    distributed under the License is distributed on an "AS IS" BASIS,
+#    WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+#    See the License for the specific language governing permissions and
+#    limitations under the License.
 import numpy as np
 import numpy.typing as npt
 from typing_extensions import TypeAlias

cvx/linalg/valid.py

@@ -1,3 +1,16 @@
+#    Copyright 2023 Stanford University Convex Optimization Group
+#
+#    Licensed under the Apache License, Version 2.0 (the "License");
+#    you may not use this file except in compliance with the License.
+#    You may obtain a copy of the License at
+#
+#        http://www.apache.org/licenses/LICENSE-2.0
+#
+#    Unless required by applicable law or agreed to in writing, software
+#    distributed under the License is distributed on an "AS IS" BASIS,
+#    WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+#    See the License for the specific language governing permissions and
+#    limitations under the License.
 """Extract valid submatrix of a matrix"""
 from __future__ import annotations
 

cvx/markowitz/__init__.py

@@ -0,0 +1,13 @@
+#    Copyright 2023 Stanford University Convex Optimization Group
+#
+#    Licensed under the Apache License, Version 2.0 (the "License");
+#    you may not use this file except in compliance with the License.
+#    You may obtain a copy of the License at
+#
+#        http://www.apache.org/licenses/LICENSE-2.0
+#
+#    Unless required by applicable law or agreed to in writing, software
+#    distributed under the License is distributed on an "AS IS" BASIS,
+#    WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+#    See the License for the specific language governing permissions and
+#    limitations under the License.

cvx/markowitz/builder.py

@@ -1,3 +1,16 @@
+#    Copyright 2023 Stanford University Convex Optimization Group
+#
+#    Licensed under the Apache License, Version 2.0 (the "License");
+#    you may not use this file except in compliance with the License.
+#    You may obtain a copy of the License at
+#
+#        http://www.apache.org/licenses/LICENSE-2.0
+#
+#    Unless required by applicable law or agreed to in writing, software
+#    distributed under the License is distributed on an "AS IS" BASIS,
+#    WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+#    See the License for the specific language governing permissions and
+#    limitations under the License.
 from __future__ import annotations
 
 import pickle

cvx/markowitz/cvxerror.py

@@ -1,2 +1,15 @@
+#    Copyright 2023 Stanford University Convex Optimization Group
+#
+#    Licensed under the Apache License, Version 2.0 (the "License");
+#    you may not use this file except in compliance with the License.
+#    You may obtain a copy of the License at
+#
+#        http://www.apache.org/licenses/LICENSE-2.0
+#
+#    Unless required by applicable law or agreed to in writing, software
+#    distributed under the License is distributed on an "AS IS" BASIS,
+#    WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+#    See the License for the specific language governing permissions and
+#    limitations under the License.
 class CvxError(Exception):
     pass

cvx/markowitz/model.py

@@ -1,3 +1,16 @@
+#    Copyright 2023 Stanford University Convex Optimization Group
+#
+#    Licensed under the Apache License, Version 2.0 (the "License");
+#    you may not use this file except in compliance with the License.
+#    You may obtain a copy of the License at
+#
+#        http://www.apache.org/licenses/LICENSE-2.0
+#
+#    Unless required by applicable law or agreed to in writing, software
+#    distributed under the License is distributed on an "AS IS" BASIS,
+#    WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+#    See the License for the specific language governing permissions and
+#    limitations under the License.
 """Abstract cp model
 """
 from __future__ import annotations

cvx/markowitz/models/__init__.py

@@ -0,0 +1,13 @@
+#    Copyright 2023 Stanford University Convex Optimization Group
+#
+#    Licensed under the Apache License, Version 2.0 (the "License");
+#    you may not use this file except in compliance with the License.
+#    You may obtain a copy of the License at
+#
+#        http://www.apache.org/licenses/LICENSE-2.0
+#
+#    Unless required by applicable law or agreed to in writing, software
+#    distributed under the License is distributed on an "AS IS" BASIS,
+#    WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+#    See the License for the specific language governing permissions and
+#    limitations under the License.

cvx/markowitz/models/bounds.py

@@ -1,3 +1,16 @@
+#    Copyright 2023 Stanford University Convex Optimization Group
+#
+#    Licensed under the Apache License, Version 2.0 (the "License");
+#    you may not use this file except in compliance with the License.
+#    You may obtain a copy of the License at
+#
+#        http://www.apache.org/licenses/LICENSE-2.0
+#
+#    Unless required by applicable law or agreed to in writing, software
+#    distributed under the License is distributed on an "AS IS" BASIS,
+#    WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+#    See the License for the specific language governing permissions and
+#    limitations under the License.
 """Bounds"""
 from __future__ import annotations
 

cvx/markowitz/models/expected_returns.py

@@ -1,3 +1,16 @@
+#    Copyright 2023 Stanford University Convex Optimization Group
+#
+#    Licensed under the Apache License, Version 2.0 (the "License");
+#    you may not use this file except in compliance with the License.
+#    You may obtain a copy of the License at
+#
+#        http://www.apache.org/licenses/LICENSE-2.0
+#
+#    Unless required by applicable law or agreed to in writing, software
+#    distributed under the License is distributed on an "AS IS" BASIS,
+#    WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+#    See the License for the specific language governing permissions and
+#    limitations under the License.
 """Model for expected returns"""
 from __future__ import annotations
 

cvx/markowitz/models/holding_costs.py

@@ -1,3 +1,16 @@
+#    Copyright 2023 Stanford University Convex Optimization Group
+#
+#    Licensed under the Apache License, Version 2.0 (the "License");
+#    you may not use this file except in compliance with the License.
+#    You may obtain a copy of the License at
+#
+#        http://www.apache.org/licenses/LICENSE-2.0
+#
+#    Unless required by applicable law or agreed to in writing, software
+#    distributed under the License is distributed on an "AS IS" BASIS,
+#    WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+#    See the License for the specific language governing permissions and
+#    limitations under the License.
 """Model for holding costs"""
 from __future__ import annotations
 

cvx/markowitz/models/trading_costs.py

@@ -1,3 +1,16 @@
+#    Copyright 2023 Stanford University Convex Optimization Group
+#
+#    Licensed under the Apache License, Version 2.0 (the "License");
+#    you may not use this file except in compliance with the License.
+#    You may obtain a copy of the License at
+#
+#        http://www.apache.org/licenses/LICENSE-2.0
+#
+#    Unless required by applicable law or agreed to in writing, software
+#    distributed under the License is distributed on an "AS IS" BASIS,
+#    WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+#    See the License for the specific language governing permissions and
+#    limitations under the License.
 """Model for trading costs"""
 from __future__ import annotations
 

cvx/markowitz/names.py

@@ -1,3 +1,16 @@
+#    Copyright 2023 Stanford University Convex Optimization Group
+#
+#    Licensed under the Apache License, Version 2.0 (the "License");
+#    you may not use this file except in compliance with the License.
+#    You may obtain a copy of the License at
+#
+#        http://www.apache.org/licenses/LICENSE-2.0
+#
+#    Unless required by applicable law or agreed to in writing, software
+#    distributed under the License is distributed on an "AS IS" BASIS,
+#    WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+#    See the License for the specific language governing permissions and
+#    limitations under the License.
 # see https://stackoverflow.com/a/54950492/1695486
 
 
@@ -38,3 +51,5 @@ class ConstraintName:
 
 class ParameterName:
     SIGMA_MAX = "sigma_max"
+    OMEGA = "omega"
+    SIGMA_TARGET = "sigma_target"