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Idea: UnwindingCostLimit #171

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enzbus opened this issue Aug 23, 2024 · 0 comments
Open

Idea: UnwindingCostLimit #171

enzbus opened this issue Aug 23, 2024 · 0 comments

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@enzbus
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enzbus commented Aug 23, 2024

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.

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