sf_quant.optimizer.LongOnly

class sf_quant.optimizer.LongOnly(*args, **kwargs)

Enforces a long-only constraint.

This constraint ensures that all portfolio weights are non-negative, prohibiting short positions.

Returns

cp.Constraint

A CVXPY constraint enforcing non-negative weights.

Examples

>>> import cvxpy as cp
>>> from sf_quant.optimizer.constraints import LongOnly
>>> weights = cp.Variable(3)
>>> constraint = LongOnly()(weights)

__init__(*args, **kwargs)

Methods

__init__(*args, **kwargs)