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Suggestion on adding time-varying Factor Exposure support in FactorMaxLimit and FactorMinLimit

Open kch382001 opened this issue 5 years ago • 0 comments

I suggest to add in support for time-varying factor exposure support in FactorMaxLimit and FactorMinLimit constraints. By doing so, user can pass in factor exposures as Pandas panel data with time as item index. Then in the _weight_expr(self, t, w_plus, z, v) function. call time_matrix_locator(exposure, t) to extract the exposure data. Then everything would flow through. Also, the factor limit can be pass in as a dataframe with time as index to support time varying limit as well.

This way, these two constraints would support both SinglePeriodOpt and MultiPeriodOpt.

kch382001 avatar Sep 10 '19 20:09 kch382001