Lower and upper bound group constraints (and with long/short)?

[ActurialCapital]

Hi,

Is it possible to add constraints on the sum of weights of different groups of assets, as it's the case in pyportfolioopt

Adds constraints on the sum of weights of different groups of assets. Most commonly, these will be sector constraints e.g portfolio’s exposure to tech must be less than x%:

where there are lower and upper bounds for each group?

Here is a dummy example/illustration/implementation in Riskfolio-Lib:

• I have 2 groups and 6 assets
• I would like to constraint the sum of "Group 1" to be higher than 10%, but lower than 15%
• Also, I would like to constraint the sum of "Group 2" to be higher than -10%, but lower than -5%

I understood I had to use assets_constraints(constraints, asset_classes). I guess, the idea would be the add something like:

import riskfolio as rp
import pandas as pd

asset_classes = pd.DataFrame.from_dict(
    {'Assets': ['Asset 1',  'Asset 2', 'Asset 3', 'Asset 4', 'Asset 5', 'Asset 6']
     'Class 1': ['Group 1',  'Group 1', 'Group 1', 'Group 2', 'Group 2', 'Group 2']}, 
orient='columns'
).sort_values(by=['Assets'])

constraints = pd.DataFrame({
    'Disabled':      [False, False, False, False],
    'Type':          ['Classes', 'Classes', 'Classes', 'Classes'],
    'Set':           ['Class 1', 'Class 1', 'Class 1', 'Class 1'],
    'Position':      ['Group 1', 'Group 1', 'Group 2', 'Group 2'],
    'Sign':          ['>=', '<=', '>=', '<=',],
    'Weight':        ['0.1', '0.15', '-0.1', '-0.05'],
    'Type Relative': ['', '', '', '', '', ''],
    'Relative Set':  ['', '', '', '', '', ''],
    'Relative':      ['', '', '', '', '', ''],
    'Factor':        ['', '', '', '', '', ''],
})

A, B =  rp.assets_constraints(constraints, asset_classes)
portfolio_params.update({'ainequality': A, 'binequality': B})
port = rp.Portfolio(**portfolio_params)
port.assets_stats(**asset_stats_params)

and then calculate the weights

weights = port.optimization(**optimization)

but I'm not really sure of the best way to do that. I'm certainly missing something.
I'm also sure it's going to help other users trying to do the same thing.

Thanks Dany for your commitment and hard work.