Sum of Largest Weights Constraints

Maximum weight constraints limit the size of individual weights. A sum of largest weights constraint is related, but different. This limits the sum of some number of the largest weights, no matter what assets have those weights.

Suppose that there is a maximum weight constraint that is 5% for all assets. That implies that the sum of the four largest weights can be no more than 20%. But, for instance, we could impose a constraint that the sum of the four largest weights is no more than 15%.

The sum.weight argument does this in Portfolio Probe.

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