A Division of Windham Capital Management, LLC

How Instruments Flagged as Overlays are Treated

Instruments flagged as Overlay in the Define Portfolios screen are not included when calculating the sum of weights constraint during optimization. Some examples of overlay instruments are options, futures, swaps, and other derivative risk management instruments. We assume that these instruments do not require capital unlike instruments in the cash markets.


Category:Understanding the Software -> Optimization

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