I am trying to understand why the style exposure is not met when I am utilizing the following constraint.
factor_risk_constraints = opt.experimental.RiskModelExposure(
#context.risk_loading_pipeline,
context.risk_factor_betas,
version=opt.Newest
)
Is the constraint being ignored? Why is the algorithm not constraining the style exposure?
Hi Klaus, I'm assuming you ran a full backtest and saw you failed one of the 7 risk constraints. You can try manually constraining whichever style you were over/under exposed to by using the following (example: 0.01 = 1%). You can choose to set fixed values for all style type or specific to the one which go outside of the contest limits.
factor_risk_constraints = opt.experimental.RiskModelExposure(
context.risk_factor_betas,
version=opt.Newest,
min_momentum = -0.01,
max_momentum = 0.01,
min_size = -0.01,
max_size = 0.01,
min_value = -0.01,
max_value = 0.01,
min_short_term_reversal = -0.01,
max_short_term_reversal = 0.01,
min_volatility = -0.01,
max_volatility = 0.01,
)
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