How to add concentration penalty?

robertmartin8 / PyPortfolioOpt

Financial portfolio optimisation in python, including classical efficient frontier, Black-Litterman, Hierarchical Risk Parity

https://pyportfolioopt.readthedocs.io/

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How to add concentration penalty? #542

Closed metin-akyol closed 5 months ago

metin-akyol commented 1 year ago

Could anyone share an example of how I can add a simple concentration penalty for the entire porfolio and for 2 groups within a portfolio? I saw this mentioned in one of the discussions but could not find any documentation for it.