Portfolio optimization with constraints
tommark last edited by
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?