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