Turnover Risk Measure Constraints

PortfolioOptimisers.set_risk_constraints! Method

set_risk_constraints!(
    model::Model,
    i,
    r::TurnoverRiskMeasure,
    opt::RiskJuMPOptimisationEstimator,
    ::AbstractPriorResult,
    args...;
    kwargs...
) -> VariableRef

Add turnover risk constraints to model.

Introduces a scalar variable turnover_risk and the L1-norm cone constraint [sc * turnover_risk; sc * (w - benchmark * k)] in NormOneCone(1 + N) where benchmark is the reference weight vector from r.w.

Arguments

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

• i: Constraint index for unique variable and constraint naming.

• r::TurnoverRiskMeasure: Turnover risk measure instance carrying the benchmark weights.

• opt::RiskJuMPOptimisationEstimator: Risk-based optimisation estimator.

Returns

• nothing.

Related

• set_risk_bounds_and_expression!

source