Max weights help

[czielinski]

Max weights help

[czielinski]

Hello @Atropos123,

I'm afraid that the problem with the additional restriction of fixing the number of assets with a weight > 0 is not quadratic in nature and, thus, the numerical approach to find optimal solutions used in this library is not applicable. For small asset numbers one could use a (very inefficient) brute force approach by calculating the optimal asset allocation of all possible subsets with 20 assets, but with a universe of 150 assets you would have to solve >10^24 optimization problems, which is practically impossible. Maybe there are suitable algorithms for your problem out there, but I simply don't know.

Otherwise you could come up with some heuristic algorithm and hope that the results will be satisfying. Maybe just selecting the 20 assets with the largest absolute weight can be chosen when normalizing the sum of their weights to unity. Solutions of these form are in general not optimal though.