I'm doing a portfolio optimization problem. I have 24 stocks to choose from with their respective returns data. The stocks are grouped by industry and I have 8 industries.
The constraint in the problem states that each industry can have no more than 22.5% of the entire investment in each industry (that part I have figured out). It also states that if an industry is chosen, it must be at least 5% of the total investment (this is the part I cant figure out). Disclaimer: Total investment must =1 or 100% and stocks or industries can have a zero value, they don't have to be used or chosen.
How do I put the 5% constraint into solver since it only applies to those industries chosen? I'm familiar with binary constraints, but I still cant figure it out.
Thanks for the help
Bookmarks