How to add turnover constraint

robertmartin8 / PyPortfolioOpt

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

https://pyportfolioopt.readthedocs.io/

MIT License

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How to add turnover constraint #555

Open MZ-enfuego opened 10 months ago

MZ-enfuego commented 10 months ago

For my portfolio optimization, I need to add a turnover constraint that total turnover is less than 50%. This constraint seems like a nonconvex one, what is the best way to implement, please?