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Constraint that prohibits target allocation that cost more than som limit (either in basis points or in dollars) to unwind immediately. Requires re-tooling TransactionCost to extract its CVXPY expression.
HoldingCost and TransactionCost can already be used in constraints, prohibiting more than some value spent in holding or transaction cost per period, but this is a different thing.
The text was updated successfully, but these errors were encountered:
Constraint that prohibits target allocation that cost more than som limit (either in basis points or in dollars) to unwind immediately. Requires re-tooling
TransactionCost
to extract its CVXPY expression.HoldingCost
andTransactionCost
can already be used in constraints, prohibiting more than some value spent in holding or transaction cost per period, but this is a different thing.The text was updated successfully, but these errors were encountered: