What are you trying to do?
I want for the assets to be either 0% of the optimal portfolio or, say, above 10%.
I mean, something like that:
opt = EfficientCVaR(expected_returns, scenarios)
opt.add_constraint(lambda x : x >= 0.1 if x != 0 )
How can I do that?
What data are you using?
My "assets" are real estate markets, no point on investing in a market if the share is very small
robertmartin8
commented
1 year ago
What are you trying to do? I want for the assets to be either 0% of the optimal portfolio or, say, above 10%. I mean, something like that: opt = EfficientCVaR(expected_returns, scenarios) opt.add_constraint(lambda x : x >= 0.1 if x != 0 ) How can I do that?
What data are you using? My "assets" are real estate markets, no point on investing in a market if the share is very small