i am currently running linear optimization and maximizing summation of (weight*score) for each assets.
I am running it on assets that are difficult to trade and the universe is easily about 2000 of them every month. My firm has capacity to trade only about 100 of them..
How do i introduce a max number of trade constraints for the assets ? I am thinking of introducing binary variables to indicate whether to trade for each assets but i am not sure how to link it back to the original objective function