Issues will be attended to afterwards when I have more spare time. Happy and willing to receive more issues.
- In
factor_encoder.py, the PortfolioLayer misrepresent the paper's idea of "a portfolio set". The current version only use "one portfolio" instead of "a set of". - Dataset now is not consistent with the paper due to some personal reason.
- In
feature_extractor.py, the latent feature, which is the GRU's output, seems quirky.