bayesline.api.equity.GrossExposureConstraint

model GrossExposureConstraint

Cap on the portfolio’s gross exposure, the sum of its absolute holdings.

The cap is a fraction of the book’s current gross nav, so 1.0 forbids any increase in gross and 1.5 allows levering up by half. Holdings the problem cannot trade (unmapped, outside the risk model) count towards the gross at their current value.

Fields

Field	Type	Required	Default	Constraints
enabled	bool	No	True
kind	Literal[‘gross_exposure’]	No	'gross_exposure'
max	float	Yes		gt=0

field enabled: bool [Optional]

Whether this constraint is applied to the optimization problem.

field kind: Literal['gross_exposure'] [Optional]

field max: float [Required]

Largest allowed gross exposure, as a fraction of the book’s current gross nav.

Constraints:

• gt = 0