setting min and max weights on the stocks for "max_quadratic_utility" , with market_netural=True

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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Open blackivory opened 9 months ago

blackivory commented 9 months ago

What are you trying to do? setting min and max weights on the stocks for "max_quadratic_utility" , with market_netural=True

how can we add the contraints for min & max weights for a long/short market_neutral portfolio with ef.max_quadratic_utility

any help would be appreciated

What have you tried? i tried https://github.com/robertmartin8/PyPortfolioOpt/issues/411#issuecomment-1022603981 but saying the solver has problems