Asset Threshold

The Asset Threshold investability constraint eliminates positions below the specified percentage. For example, a 5% asset threshold prevents 2% asset allocations without forcing a 5% allocation to each asset as the minimum asset bound constraint does. If the optimal portfolio has a 2% allocation to an asset, post-optimization with a 5% asset threshold results in either no allocation or a 5% allocation to that asset. An asset threshold of 0% turns this constraint off. The effective threshold is the minimum multiple of the increment that is greater than or equal to the threshold. For instance a 2.5% asset threshold when the asset increment is 1%, results in a smallest possible allocation of 3%.