sf_quant.optimizer.ZeroInvestment

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

Enforces a zero-investment constraint.

This constraint ensures that the sum of all portfolio weights equals 0, representing a market-neutral position.

Returns

cp.Constraint

A CVXPY constraint enforcing zero investment.

Examples

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

__init__(*args, **kwargs)

Methods

__init__(*args, **kwargs)