| Class | Description |
|---|---|
| SOCPLinearSectorExposure |
A sector exposure constraint.
\[
\sum_{j \in S_i} |y_j| \leq u_i, \quad i=1, \ldots, k
\]
where \(y_j\) is the new weight for asset j, \(S_i\) are the given sectors,
and \(u_i\) is the exposure limit for \(S_i\).
|
| SOCPNoTradingList2 |
Transforms a black list (not to trade a new position) constraint into the
compact SOCP form.
|
| SOCPSectorExposure |
Transforms a sector exposure constraint into the compact SOCP form.
|
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