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, i.e., it prohibits leveraged long positions.

Examples

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

__init__(*args, **kwargs)

Methods

__init__(*args, **kwargs)