sf_quant.optimizer.UnitBeta

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

Enforces a unit-beta constraint.

This constraint requires the portfolio’s exposure to a given beta vector to equal 1. A betas array must be provided as a keyword argument.

Returns

cp.Constraint

A CVXPY constraint enforcing unit beta exposure.

Raises

ValueError

If betas is not provided in the keyword arguments.

Examples

>>> import cvxpy as cp
>>> import numpy as np
>>> from sf_quant.optimizer.constraints import UnitBeta
>>> weights = cp.Variable(3)
>>> betas = np.array([0.5, 1.2, 0.8])
>>> constraint = UnitBeta()(weights, betas=betas)

__init__(*args, **kwargs)

Methods

__init__(*args, **kwargs)