Repository navigation
Add min, max, and target imbalance constraints - #209
Open
shaneraphel wants to merge 1 commit into
Open
shaneraphel wants to merge 1 commit into
shaneraphel wants to merge 1 commit into
Conversation
The signed non-cash weight can now be fixed or bounded. Dollar neutral and fully invested are the zero and one cases of the same cash residual.
This branch has not been deployed
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
Add this suggestion to a batch that can be applied as a single commit.This suggestion is invalid because no changes were made to the code.Suggestions cannot be applied while the pull request is closed.Suggestions cannot be applied while viewing a subset of changes.Only one suggestion per line can be applied in a batch.Add this suggestion to a batch that can be applied as a single commit.Applying suggestions on deleted lines is not supported.You must change the existing code in this line in order to create a valid suggestion.Outdated suggestions cannot be applied.This suggestion has been applied or marked resolved.Suggestions cannot be applied from pending reviews.Suggestions cannot be applied on multi-line comments.Suggestions cannot be applied while the pull request is queued to merge.Suggestion cannot be applied right now. Please check back later.
Summary
Issue #181 asks for a way to set the long/short imbalance, with fully invested and dollar neutral as the two usual cases.
FixedImbalancealready fixes the cash residual. This adds the two inequalities and aTargetImbalancename for the equality.The imbalance is the sum of the signed non-cash weights, so it is
1minus the cash weight.TargetImbalance(c)requires the imbalance to equalc.DollarNeutralisc = 0andNoCashisc = 1.MaxImbalance(c)requires the imbalance to be at mostc, so the cash weight is at least1 - c.MinImbalance(c)requires the imbalance to be at leastc, so the cash weight is at most1 - c.The limit can be a number or a datetime-indexed series, same as
FixedImbalance.Test plan
test_target_imbalance,test_max_imbalance, andtest_min_imbalancepass, along with the existingNoCashandDollarNeutraltests.FixedImbalanceindocs/constraints.rst.