The engine that builds the live portfolio
$$\underset{w}{\operatorname{maximize}}\quad
\mu^{\mathsf T}w
-\gamma_r\lVert w\rVert_2^2
-\gamma_s\lVert w-w_{\mathrm{prev}}\rVert_2^2$$
What this solver adds
- Real-valued weights, different for every asset
- Set how many assets to hold
- or let the solver choose the count itself
- Invest the capital in full
- or hold part of the portfolio in cash
- Short selling off by default, and can be enabled
- Blocks over-concentrated or extreme-weight portfolios
- Holds the portfolio steady between rebalances
- Picks the solver automatically from the problem type
Numerical stability
SymmetrizationDiagonal jitter
Solvers
SCIP, GUROBI, CPLEX, MOSEK
Mixed-Integer Solvers
With cardinalityMixed-Integer
CLARABEL, OSQP, ECOS, SCS
Continuous Solvers
Without cardinalityContinuous Convex