Does anyone have example use cases for the Optimize API
Frozen
constraint, in the context of the current contest rules, and more generally the quant workflow/algo architecture? Specifically, I'm wondering if it can somehow be used to impose a holding period for sub portfolios?
Also, what does the max_error_display
parameter control?
class Frozen(asset_or_assets, max_error_display=10)
Constraint for assets whose positions cannot change. Parameters: asset_or_assets (Asset or sequence[Asset]) – Asset(s) whose weight(s) cannot change.