Package tech.nmfin.portfoliooptimization.socp.constraints

Class Summary

Class	Description
SOCPLinearBlackList	A black list means that the positions of some assets must be zero. \[ x_i = 0, \quad \text{for selected indices }i \]
SOCPLinearMaximumLoan	A maximum loan constraint. \[ x_j + \max(0, w^0_j) \leq l_j, \quad l_j \leq 0 \] where \(w^0_j\) and \(x_j\) are the initial and the additional weights for asset \(i\) respectively.
SOCPLinearSectorNeutrality	A sector neutrality means that the sum of weights for given sectors are zero. \[ \sum_{j \in S_i} y_j = 0, \quad i = 1, \ldots, k \] where \(S_i\)'s represent the given \(k\) sectors.
SOCPLinearSelfFinancing	A self financing constraint. \[ \sum_{j=1}^{n}x_{j} = 0, \quad y = w_0 + x \] where \(y\) is the new weights, \(w_0\) is the initial weights, and \(x\) is the change of weights.
SOCPLinearZeroValue	A zero value constraint. \[ \sum_{j=1}^{n}y_{j} = 0 \] where \(y\) is the new weights.
SOCPMaximumLoan	Transforms a maximum loan constraint into the compact SOCP form.
SOCPNoTradingList1	Transforms a black list (not to trade a new position) constraint into the compact SOCP form.
SOCPSectorNeutrality	Transforms a sector neutral constraint into the compact SOCP form.
SOCPSelfFinancing	Transforms a self financing constraint into the compact SOCP form.
SOCPZeroValue	Transforms a zero value constraint into the compact SOCP form.