Hi,
I am new to python and would appreciate your help.
I have the following for a subset of assets:
data.history(context.assets,'price',hist_window, '1d')
{'asset': initial_target_weight}
I would like to do a custom optimization for target weights such that
objective = maximize ∑ log |optimized_target_weight|
constraints = stdev (portfolio) < target_stdev & dollar neutral
Any suggestions on how best to implement this?
Thanks!