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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Time Varying Constraints Based on Benchmark Weights #598

Open richfremgen opened 3 weeks ago

richfremgen commented 3 weeks ago

What are you trying to do? Are we able to add in time-varying sector constraints? For example if the sector weights in a benchmark change over time, I want the constraints on my portfolio's sector weights to dynamically adjust based on these changes. The constraints would be set as a certain percentage range (e.g., ±10%) around the sector weights in the benchmark index at each time step.