sf_quant.optimizer.FullInvestment

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

Enforces a full-investment constraint.

This constraint ensures that the sum of all portfolio weights equals 1.

Examples

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

__init__(*args, **kwargs)

Methods

__init__(*args, **kwargs)