bayesline.api.equity.GroupNetExposureConstraint

model GroupNetExposureConstraint

Freeze the net exposure of asset groups while allowing trading within them.

A group’s net exposure (the sum of its members’ holdings) is held at its current value, so names can be rotated within the group but the group as a whole neither grows nor shrinks. Groups come from a categorical factor group of the risk model (e.g. an industry classification, one group per factor, membership given by the exposures), from explicit asset lists, or both.

Fields

Field	Type	Required	Default
asset_groups	dict[str, list[str]]	No	factory
enabled	bool	No	True
factor_group	str | None	No	None
kind	Literal[‘group_net_exposure’]	No	'group_net_exposure'

field asset_groups: dict[str, list[str]] [Optional]

Explicit groups to freeze, keyed by group name, each a list of asset ids in the risk model’s asset id type.

field enabled: bool [Optional]

Whether this constraint is applied to the optimization problem.

field factor_group: str | None [Optional]

Name of a categorical factor group of the risk model whose factors define the groups to freeze.

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