bayesline.api.equity.NetExposureConstraint#

model NetExposureConstraint#

Bounds on the portfolio’s net exposure, the sum of its holdings.

Bounds are fractions of the book’s current gross nav (its total absolute holdings), so they are well-defined for long/short books: a max of 0.1 allows a net position of up to a tenth of the book’s gross. For a long-only book gross equals nav, so 1.0 means fully invested. Holdings the problem cannot trade (unmapped, outside the risk model) count towards the net at their current value.

An enabled net exposure constraint also lifts the default behaviour of holding the book’s total holdings fixed; the optimizer is then free to move the total within the bounds, with the difference implicitly held as cash.

Fields#
Field	Type	Required	Default
`enabled`	`bool`	No	`True`
`kind`	`Literal`[‘net_exposure’]	No	`'net_exposure'`
`max`	`float` \| `None`	No	`None`
`min`	`float` \| `None`	No	`None`

field enabled: bool [Optional]#: Whether this constraint is applied to the optimization problem.

field kind: Literal['net_exposure'] [Optional]#

field max: float | None [Optional]#: Largest allowed net exposure, as a fraction of the book’s current gross nav.

field min: float | None [Optional]#: Smallest allowed net exposure, as a fraction of the book’s current gross nav.