Why Doesn't max_sharp have the option of market neutral portfolio??

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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Why Doesn't max_sharp have the option of market neutral portfolio?? #585

Open raphael7777777 opened 9 months ago

raphael7777777 commented 9 months ago

i want to optimize my portfolio ussing the max_sharp, but i need the weights to sum to zero, why does the max_sharp only offer the option of the portfolio summing net exposure being 1?