I would like to optimize a portfolio allocation (maximizing the exposure or the expected return), but with asset constraints. (some parts of my portfolio cannot exceed a certain minimum or maximum). For example, 60% max on equity and 5% min on cash, say for liquidity. Let's say there are five assets, cash, US and UK equity, US fixed income, and US property.
How can I achieve that? Is there a way to turn the problem into a linear programming problem? or to approximate the results?
Any links or ideas are welcome.