For code/output blocks: Use ``` (aka backtick or grave accent) in a single line before and after the block. See:

Portfolio optimization with constraints

  • How best should I construct an optimized portfolio for i.e. z-score of free cash flow yield and earning yield with following constraints:
    Our portfolio must have a maintain a gross leverage ratio of 1.0 or less.
    Our portfolio can have no more than 1.5% in any single name.
    Our portfolio must be equally exposed to long and short positions.
    Within each market sector, our portfolio must be equally-exposed to long and short positions.

    This would require optimization with constraints. Any one can provide direction on this please?

Log in to reply