Group them prior to optimization.
For example, if a group k
consists of x,y,z
, and you wish them to have the same weight, then just set this weight. Create synthetic: k = 1/3 * (x + y + z)
. Then optimize the groups, not the assets.
Question
I am trying to optimize a portfolio with 10 assets and those can be grouped into five. Say asset one and two is in group 1. Now in my optimization, I need the weights of group assets to be equal. For example, Asset 1 and Asset 2 is in group 1. So I need weights of asset 1 and asset 2 to be equal in the possible optimized portfolio. How do I include this constraint into portopt function?
Many thanks in advance.
La solution
Group them prior to optimization.
For example, if a group k
consists of x,y,z
, and you wish them to have the same weight, then just set this weight. Create synthetic: k = 1/3 * (x + y + z)
. Then optimize the groups, not the assets.