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.

Examples

>>> weights = cp.Variable(3)
>>> constraint = ZeroInvestment()(weights)

__init__(*args, **kwargs)

Methods

__init__(*args, **kwargs)