Is your feature request related to a problem? Please describe.
Paper https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3010414 describes the algorithm to be implemented.

https://github.com/bshaw19/Crypto_Trader/blob/2f0f416c78b917d00f99b7c2ec0babcfbf33bc7e/Variable_Functions/Twitter_Sentiment.py#L16

@bshaw19 I'm not sure what date format you intend to use here. When I wrote this code for the LSTM stock model the input date worked without specifying a formatting argument to the arrow.get() function.

I was running this today and ran into problems with the "YY

like we did in the R package, we should show examples where general solvers (from e.g., scipy.optimize) are not able to or are too slow to solve the non-convex risk parity formulation.

EmpiricalPenaltySupremumEstimator contains the Implementation of the Empirical Penalty Supremum Estimator dependent on Multivariate Random Variables where the Multivariate Function is a LinearCombination of Bounded Univariate Functions acting on each Random Variate.