I'm starting to use the different constraints available alongside the objective functions and had questions on a couple of them:
DollarNeutral: "Requires that the sum of the weights (positive or negative) of all assets in the portfolio fall between +-(tolerance)."
i.e. -tol <= sum(weights) <= tol
This definition does not include the price of the assets to check for "dollar" neutrality. Shouldn't dollar neutral portfolio mean that the sum of (weights * prices) fall between +- tolerance? A stock with small weight (0.01) and bigger price/share ($6000) will have a bigger dollar impact than a stock with small weight and small price/share.
e.g. if I have 3 stock [A, B, C] in the portfolio with weights [-0.02, 0.3, 0.15] and prices [1200, 14, 30], dollar neutral should mean either
1. (-0.02*1200+0.3*14+0.15*30) <= (abs(-0.02)*1200 + abs(0.3)*14 + abs(0.15)*30) * tol OR
2. (-0.02*1200+0.3*14+0.15*30) <= tol
Same question for Net GroupExposure: Shouldn't price be included to calc sector neutrality in the definition below?
"sum of the weights of assets mapped to that label should fall between a lower and upper bounds."