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Add MaxImbalance, MinImbalance, TargetImbalance constraints #181

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enzbus opened this issue Sep 6, 2024 · 1 comment
Open

Add MaxImbalance, MinImbalance, TargetImbalance constraints #181

enzbus opened this issue Sep 6, 2024 · 1 comment

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@enzbus
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enzbus commented Sep 6, 2024

Connected to #180. It's often unclear to users how the cash weight is connected to the longs and shorts. Create 3 extra constraints to specify the long/short legs imbalance they require. NoCash and DollarNeutral become special cases of TargetImbalance. Documentation will explain how they are used.

@thayes75
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Been playing with this today and it is very helpful. To clarify the other half of #180 was the concept of deploying a set notional amount to ensure a target dollar exposure of the assets themselves.

For example, carrying out a capacity study where I run a dollar neutral portfolio starting at $100MM/side, $500MM/side, ... , $1bln/side, etc., and the portfolio stays dollar neutral as the PnL (hopefully) accrues over the back test.

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