| { |
| "n": "<int> Number of securities in the investment universe.", |
| "k": "<int> Maximum number of securities that may receive a positive allocation in the portfolio.", |
| "r": "<int> Number of factors used in the factor model for the covariance structure.", |
| "gamma": "<float> Ridge regularization parameter that penalizes concentrated portfolio positions.", |
| "gamma_formula": "<str> Formula used to compute gamma from n.", |
| "kappa": "<int> Multiplier controlling whether expected returns appear in the objective (1) or are handled via a separate minimum-return constraint (0).", |
| "mu": "<list[float], length n> Expected monthly return for each security.", |
| "factor_loadings": "<list[list[float]], shape [n][r]> Factor loading matrix whose outer product contributes the systematic component of the covariance matrix.", |
| "idiosyncratic_variance": "<list[float], length n> Per-security idiosyncratic variance forming the diagonal component of the covariance matrix.", |
| "constraints": { |
| "has_min_return_constraint": "<bool> Whether the portfolio must achieve a minimum expected return.", |
| "r_bar": "<float or null> Minimum required expected portfolio return, or null if no such constraint applies.", |
| "has_min_investment_constraint": "<bool> Whether each selected security must receive at least a minimum allocation.", |
| "l_min_investment": "<list[float] or null, length n> Minimum allocation required for each security if it is included in the portfolio, or null if no minimum investment constraint applies.", |
| "u_max_investment": "<list[float] or null, length n> Maximum allocation allowed for each security if it is included in the portfolio, or null if no maximum investment constraint applies." |
| } |
| } |
|
|
