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example usage of Optimize API FactorExposure constraint?

Is there an existing code example (or could someone provide one) of the use of FactorExposure in the Optimize API?

2 responses

Hi @Grant,

One example would be the Long/Short Equity template algorithm from the Lecture Series. It uses FactorExposure to constraint the target portfolio's exposure to market beta.

Also, the notebook shared here has an example of how to use FactorExposure to constraint exposures to market, value and size factors. You can find the relevant example in the "Constraining Risk Factor Exposures" section, but I highly recommend going through the whole notebook.

I hope this helps.


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Thanks Ernesto -

I'll see if I can sort out how to apply it with multiple factors (I had previously been using it only for beta).