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Optimal portfolio with weight 0

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Optimal Portfolio With Weight 0

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Confused Hi!!

I'm looking for a way, starting from a null capital, to buy and short sale some titles so that the optimized portfolio's weight results 0...
I'd like to manage to indicate which stocks to buy and which to borrow!
I cannot understand how to do it...

Thank you in advance for your help!
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Here the portfolio would have and equal weight of long and short postions so that the capital (ignoring borrowing costs) would be essentially zero.

The system does not currently provide for this situation. Two workarounds are possible:
  1. Optimize 2 portfolios: 1 for short positions and 1 for long with the same capital amount.
  2. Optimize the portfolio as long/short mixed and then adjust weightings for positions by the ratio of long and short so that their totals equate. This would be the preferred method in order to capture the correlation offsets of the long and short positions.
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