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Custom constraints and objectives in optimize API

I have been trying to find answer to this but it seems it's very hard to find:

I would like to create custom constraints for example:
- checking that the correlation of asset to any other asset in portfolio is within defined bounds for specified period
- maximum drawdown for the combined portfolio does not exceed X% in any point during the past Y days

I would also like to create custom objectives for example for something like:
- Optimize portfolio for maximum CAGR/DD

Is this something optimize can do or should I just use scipy.optimize and just do the actual portfolio ordering for precalculated weights with optimize API?

1 response

There's currently not a way to create custom constraints or objectives. However, the scipy.optimize, CVXOPT, and CVXPY modules are available to do optimization and then feed the order_optimal_portolio method the resulting weights (perhaps then adding further constraints). Not an 'optimal' solution I know.

If you are doing any work with these optimization packages it may help the community out if you could post some examples and/or issues here in the forums. There has been a steady interest on that topic for quite awhile but haven't seen many notebook or algo examples.

Good luck!

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