Hello All
Last year, I did some work on creating optimization similar to Q. Recently, I got a request to post the latest version. So here it is!
The code almost replicates the Q opt results for "Maximize Alpha". In addition to that, you can control for factor and style risk and add quadratic penalty on beta (market/SmL/VmG) deviations via the objective function.
Let me know if it helps or if there are any issues.
Thanks
Shiv