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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.
    https://www.quantopian.com/posts/optimize-api-now-available-in-algorithms

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


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