bayesline.api.equity.IdioTrackingErrorObjective

model IdioTrackingErrorObjective

Minimize the idiosyncratic variance of the holdings.

The variance is diagonal, from the model’s idiosyncratic volatility forecasts, and is measured on the portfolio’s holdings in excess of its benchmark’s by default (a tracking error), or on the holdings themselves.

Fields

Field	Type	Required	Default	Constraints
enabled	bool	No	True
kind	Literal[‘idio_tracking_error’]	No	'idio_tracking_error'
space	Literal[‘total’, ‘active’]	No	'active'
weight	float	No	1.0	gt=0

field enabled: bool [Optional]

Whether this objective contributes to the optimization problem.

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

field space: Literal['total', 'active'] [Optional]

Whether the variance is of the holdings in excess of the benchmark’s (active, a tracking error) or of the holdings themselves (total).

field weight: float [Optional]

Relative weight of this objective in the combined problem. Only the ratios between objective weights matter; they need not be normalized to sum to one.

Constraints:

• gt = 0