I've created a pipeline with a single column for each of a limited set of securities (via StaticAssets). The column contains a VolatilityFactor (Price / Volatility via a CustomFactor).
Where I'm having trouble is in creating an additional column of the DataFrame which represents the sum of the VolatilityFactors across all securities for each day (ComboFactor). And perhaps a third column representing each security's optimal weight = VolatilityFactor / ComboFactor.
Where I'd like to go with this is (following risk-parity principles) use each security's optimal weight (= VolatilityFactor / ComboFactor) to create a daily:
weight_objective = opt.TargetWeights(weights)
which can be used in:
order_optimal_portfolio(objective = weight_objective, constraints = )
I suspect I'm also facing difficulties getting the dataframe format massaged into the dictionary format that the optimal function expects.
Any assistance would be greatly appreciated.