Spring 2020 Project 2: Optimize Something - Revision history

Jfox44: /* Due Date */

2020-01-19T15:55:00Z

Due Date

2020-01-19T15:52:45Z

Due Date

2020-01-19T15:52:23Z

2020-01-03T15:41:44Z

Template

2020-01-01T00:52:34Z

Task

2019-12-31T22:45:24Z

Auto-grading: 10 test cases [80 points]

2019-12-31T22:42:13Z

Template

2019-12-31T22:40:42Z

Rubric

2019-12-31T22:36:36Z

What to turn in

2019-12-31T22:33:33Z

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 ==Due Date==
-/26/2020 11:59PM Anywhere on Earth time
+/26/2020 11:59PM [https://www.timeanddate.com/time/zones/aoe Anywhere on Earth time]
 ==Revisions==

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 Instructions:
-* Download the template code here: [[File:19fall_optimize_something.zip]]
+* Download the template code here: [[File:20spring_optimize_something.zip]]
 * Implement the <tt>optimize_portfolio()</tt> function in <tt>optimize_something/optimization.py</tt>.
 * To execute your optimization code for debugging purposes, run <tt>'''PYTHONPATH=..:. python optimization.py'''</tt> from the <tt>optimize_something/</tt> directory.

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 To test your code, we will be calling <tt>optimize_portfolio()</tt> only.
-==Task==
+==Tasks==
 ===Implement optimize_portfolio()===

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 * Each allocation is between 0 and 1.0 +- 0.02 (negative allocations are allowed if they are very small) (2 points)
 * Standard deviation of daily return of the allocated portfolio is within 5% of reference solution or lower (4 points)
 ==Required, Allowed & Prohibited==

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 ==Rubric==
-Part 1: Chart is correct [20 points]
+===Report [20 points]===
 * -20 no chart or chart is total nonsense
 * -10 chart wrong shape (incl. wrong time period, etc) xor -5 chart partly wrong shape (diverges from correct halfway through, etc)
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 *Min score: 0.
-Part 2: 10 test cases [80 points]<br />We will test your code against 10 cases (8 points per case **No partial credit**).  Each case will be deemed "correct" if:
+===Auto-grading: 10 test cases [80 points]===
 * sum(allocations) = 1.0 +- 0.02 (2 points)
 * Each allocation is between 0 and 1.0 +- 0.02 (negative allocations are allowed if they are very small) (2 points)

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 ==What to turn in==
-Via Canvas, submit as attachments (no zip files; refer to schedule for deadline):
+Submit the following files (only) via Canvas before the deadline:
+* Project 2: Optimize Something (Report)
-* Your code as <tt>optimization.py</tt> (only the function <tt>optimize_portfolio()</tt> will be tested).  Make sure that all necessary code is in that file. Please submit the code (.py) into the assignment "Project 2: Optimize Something (Code)" only
+** Your report as <tt>report.pdf</tt> that includes a chart comparing the optimal portfolio with SPY using the following parameters:<br />Start Date: 2008-06-01, End Date: 2009-06-01, Symbols: ['IBM', 'X', 'GLD', 'JPM'].
-* A report <tt>report.pdf</tt> that includes a chart comparing the optimal portfolio with SPY using the following parameters:<br />Start Date: 2008-06-01, End Date: 2009-06-01, Symbols: ['IBM', 'X', 'GLD', 'JPM']. Please submit the report (.pdf) into the assignment "Project 2: Optimize Something (Report) only
+* Project 2: Optimize Something (Code)
 Unlimited resubmissions are allowed up to the deadline for the project.

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 ALL of your code should be present in the single file <tt>optimization.py</tt>
-=== Chart Example===
+==== Chart Example====
 An example chart that you might create for assessing your optimizer.
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 [[File:comparison_optimal.png]]
-==Suggestions==
+====Suggestions====
 * Refer to comments in the provided helper code for pointers regarding how to implement it. In order to specify bounds and constraints when using the <tt>scipy.optmize</tt> module, you'll need to use a special syntax explained here: http://docs.scipy.org/doc/scipy/reference/generated/scipy.optimize.minimize.html