PortfolioOptimisers.jl

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Turnover Constraints ​

PortfolioOptimisers.set_turnover_constraints! Function
julia
set_turnover_constraints!(args...)

Add turnover constraints to the JuMP optimisation model.

The fall-through method does nothing. The concrete method iterates over the collection of Turnover objects tns and delegates each to _set_turnover_constraints!.

Arguments

  • model::JuMP.Model: The JuMP optimisation model.

  • tns: One or more Turnover constraint specifications.

Returns

  • nothing.

Related

source
PortfolioOptimisers._set_turnover_constraints! Function
julia
_set_turnover_constraints!(model::Model, tn::Turnover)
_set_turnover_constraints!(
    model::Model,
    tn::Turnover,
    i::Integer
)

Add a single turnover constraint for a Turnover object to the JuMP optimisation model.

Introduces auxiliary variable t_tn_i, expression tn_i = w - wb * k, and enforces ‖w - wb‖₁ ≤ val * k via NormOneCone constraints.

Arguments

  • model::JuMP.Model: The JuMP optimisation model.

  • tn::Turnover: Turnover constraint specification containing benchmark weights w and tolerance val.

  • i::Integer = 1: Index used to generate unique variable and constraint names.

Returns

  • nothing.

Related

source