implementation of cost constraints: cvx.FullCovariance() <= value

Makefile

@@ -8,17 +8,20 @@ ifeq ($(OS), Windows_NT)
     BINDIR=$(ENVDIR)/Scripts
 endif
 
-.PHONY: env docs clean test cleanenv
+.PHONY: env docs clean pytest test releasetest cleanenv
 
 env:
 	$(PYTHON) -m venv $(ENVDIR)
 	$(BINDIR)/python -m pip install --editable .
 	$(BINDIR)/python -m pip install -r requirements.txt
-	
+
 test:
+	$(BINDIR)/python -m unittest $(PROJECT)/tests/*.py
+
+pytest:
 	$(BINDIR)/pytest $(PROJECT)/tests/*.py
 
-hardtest: cleanenv env test  
+releasetest: cleanenv env pytest  
 
 test8:
 	flake8 --per-file-ignores='$(PROJECT)/__init__.py:F401,F403' $(PROJECT)/*.py
@@ -37,7 +40,7 @@ pep8:
 	# use autopep8 to make innocuous fixes 
 	$(BINDIR)/autopep8 -i $(PROJECT)/*.py $(PROJECT)/tests/*.py
 
-release: hardtest
+release: releasetest
 	$(BINDIR)/python bumpversion.py
 	git push
 	$(BINDIR)/python -m build

cvxportfolio/constraints.py

@@ -122,7 +122,7 @@ def __init__(self, cost, value):
 
     def _compile_constr_to_cvxpy(self, w_plus, z, w_plus_minus_w_bm):
         "Compile constraint to cvxpy."
-        return self.cost(w_plus, z, w_plus_minus_w_bm) 
+        return self.cost._compile_to_cvxpy(w_plus, z, w_plus_minus_w_bm) 
 
     def _rhs(self):
         return self.value.parameter

cvxportfolio/costs.py

@@ -91,6 +91,22 @@ def __sub__(self, other):
     def __rsub__(self, other):
         """Subtract from other cost."""
         return other.__add__(-self)
+
+    def __le__(self, other):
+        """self <= other, return CostInequalityConstraint.
+        
+        For now we check here the type of "other"
+        but it would be nicer to have CostInequalityConstraint's
+        internal DataEstimator throw NotImplemented instead.
+        """
+        if isinstance(other, float) \
+            or isinstance(other, int) \
+            or isinstance(other, pd.Series):
+            return CostInequalityConstraint(self, other)
+
+    def __ge__(self, other):
+        """self >= other, return CostInequalityConstraint."""
+        return (-self).__le__(other)
 
 
 class CombinedCosts(BaseCost):

cvxportfolio/tests/test_simulator.py

@@ -714,6 +714,24 @@ def test_ineq_soft_constraints(self):
         self.assertTrue(allshorts[0] < allshorts[1])
         self.assertTrue(allshorts[1] < allshorts[2])
         self.assertTrue(allshorts[2] < allshorts[3])
+
+    def test_cost_constraints(self):
+        "We check that cost constraints work as expected."
+
+        sim = cvx.StockMarketSimulator(
+            ['AAPL', 'MSFT', 'GE', 'ZM', 'META'], trading_frequency='monthly', base_location=self.datadir)
+
+        policies = [
+            cvx.SinglePeriodOptimization(cvx.ReturnsForecast(), [cvx.FullCovariance() <= el**2]) 
+                for el in [0.01, .02, .05, .1]]
+
+        results = sim.backtest_many(policies, start_time='2023-01-01')
+        print(results)
+
+        self.assertTrue(results[0].volatility < results[1].volatility)
+        self.assertTrue(results[1].volatility < results[2].volatility)
+        self.assertTrue(results[2].volatility < results[3].volatility)
+
 
 
 if __name__ == '__main__':