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@ktattan There is a technical answer to that question, but the implication goes a bit further.
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Hi, I have an issue where for some reason my problem is not DCP compliant, even though it seems the indivdual expressions are. I have a set of target portfolio weights
w
that are breaking some constraints (concentration limits, leverage etc.), so I have the following problem setupAs far as I can see, both
sub_expr1
andsub_expr2
are convex in theory - of course, when I printsub_expr2
I get the resultExpression(UNKNOWN, NONNEGATIVE, (1, 1))
instead of the expectedExpression(CONVEX, NONNEGATIVE, (1, 1))
, and I do not know why. Can anyone explain to me why this is, or how I should changesub_expr2
to be convex? The end goal is just to adhere to a target volatility as closely as possible, which is why I try to minimize the distance betweenvol
andvol_targ
. Thank youBeta Was this translation helpful? Give feedback.
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