SOCPLinearBlackList |
A black list means that the positions of some assets must be zero.
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SOCPLinearMaximumLoan |
A maximum loan constraint.
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SOCPLinearSectorNeutrality |
A sector neutrality means that the sum of weights for given sectors are zero.
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SOCPLinearSelfFinancing |
A self financing constraint.
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SOCPLinearZeroValue |
A zero value constraint.
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SOCPMaximumLoan |
Transforms a maximum loan constraint into the compact SOCP form.
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SOCPNoTradingList1 |
Transforms a black list (not to trade a new position) constraint into the
compact SOCP form.
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SOCPSectorNeutrality |
Transforms a sector neutral constraint into the compact SOCP form.
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SOCPSelfFinancing |
Transforms a self financing constraint into the compact SOCP form.
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SOCPZeroValue |
Transforms a zero value constraint into the compact SOCP form.
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