Optional Constraints

Optional Constraints

Position Limits

Position limits means the allowed minimum and maximum weight for any given assets. 

e.g. If you set minimum weight as 0, then short selling will not be allowed.

# default value

Market Impact

Market impact describes the impact of investments to the market, which means, your investment weight vector \(\mathbf{\omega}\) can influence expected return vector \(\mathbf{r}\). We use non-linear model to depict this relationship, which is \(r_i^* = r_i – \theta_i \sqrt{ \omega_i}\) where \(\theta_i\) s are square root impact coefficients and larger it is, larger impact the corresponding asset has on the market.

Block List

Weights of black-listed assets will not be changed during transactions.

Max Loan

In practice, some asset can gain loans. In this way ,we use max load to decide the minimal allowed weight of asset during transactions.

e.g. If you set max loan as 0.3, then the weight of asset can be at least -0.3.