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Going from QP to SOCP in CVXPY
Markus S
posted
Portfolio Optimization

I have a portfolio optimisation case set up where I am doing a few thing like constraining on sector/ industry/ beta/etc while minimising risk. I now want to look at adding nonlinear constraints like tracking error or constraint on certain factor in from my risk model, and I am a bit confused on how to do this I found this post

https://www.quantopian.com/posts/constraint-on-portfolio-variance

which says

It's an SOCP and CVXPY automatically does that for you

what does that mean? Can I just mix my current constraints with non linear one and cvxpy can handle it automatically? I get that the socp approach is the more general approach and cvxpy is using it under the hood or do I have to manually reformulate all of my constraints/ objective function? The manual doesn't mention anything.

hope I could express myself clear enough, thanks

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