Keyword Description
Used in MVO, this is a user assignable variable that tells the optimizer the minimum number of positions to hold.
Class
Directive
Where Legal
Resources |
Entry Logic |
Exit Logic |
Initial Size |
Resize (Pre-Category) |
Resize (Category-Level) |
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l |
Syntax
MINPOSITIONS
Example
Sample code
MINPOSITIONS = 5 'ignore better Sharpe ratios derived from holding fewer than this number of positions
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Tells the optimizer to use the optimum UTILITY value derived from holding no fewer than this number of positions. Suppose that the optimizer was able to find a combination of securities and weights that exhibited a superior Sharpe ratio but that portfolio held only 3 positions. That 3 item portfolio would be ignored in favor of the 5 item portfolio exhibiting the best Sharpe ratio. |
See also:
UTILITY, Markowitz style portfolio optimization
..\Sample Rules\Position Sizing Rules\ReAllocate.siz