bayesline.api.equity.MaxPositionSizeConstraint

model MaxPositionSizeConstraint

Blanket cap on the absolute weight of every position.

The cap is a holding weight per unit of net nav and applies to every asset the problem can hold, long or short. Ill-defined for a book whose net nav is ~0; such a book rejects an enabled cap at solve time. Applies alongside defaults.position_growth_cap; the tighter of the two binds.

Fields

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

field enabled: bool [Optional]

Whether this constraint is applied to the optimization problem.

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

field max: float [Required]

Largest allowed absolute weight, per unit of net nav.

Constraints:

• gt = 0

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

Whether the cap applies to the portfolio’s holding weights (total) or to its weights in excess of its benchmark’s (active).