search

fmilthaler / FinQuant

A program for financial portfolio management, analysis and optimisation.
MIT License
1.38k stars 190 forks source link

Regularization Function / Bounds Config #51

Open almirb opened 4 years ago

almirb commented 4 years ago

Hello @fmilthaler !

I'm having some dificulty to use ef_maximum_sharpe_ratio with a more "spreaded" allocation... Would it be possible to add some regularization function to avoid the optimizer to concentrate allocation in only 1 or 2 stocks? Another way to resolve this could be to add some "per stock" or global limit settings (lower and upper). I don't know wich solution is better.... E.g: only allow a maximum of 80% of portfolio allocation for each stock.

Thanks!

fmilthaler commented 4 years ago

I like this idea and think this would bring good value to the user. Do you want to go ahead and add this feature?