sf_quant.optimizer.NoBuyingOnMargin

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

Enforces a no-buying-on-margin constraint.

This constraint ensures that the total invested capital does not exceed 1, prohibiting leveraged long positions.

Returns

cp.Constraint

A CVXPY constraint limiting total investment to 1.

Examples

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

__init__(*args, **kwargs)

Methods

__init__(*args, **kwargs)