Hello All,
Does anyone know of a method for imposing group weight constraints to a portfolio optimization using CVXOPT? Such as a minimum of 50% to equities 50% to fixed income.
Where the optimization is being run on the expected returns of large cap, small cap, developed ex us, etc and the total must be at least 50%?
I should be clear, I am not looking for individual asset constraints such as 5% minimum in every security I am looking for grouped constraints.
I attached the notebook I am working on. Any help would be greatly appreciated!
Thanks,
Mike