---
title: "Limit MPT's weights"
description: "Hold MPT (Markowitz) to a position direction, a minimum and maximum weight per instrument, and forced diversification — and read the alerts the limits raise."
canonical_url: "https://fincanva.com/docs/strategies/limit-mpt-s-weights"
last_updated: "2026-10-06"
md_url: "https://fincanva.com/docs/strategies/limit-mpt-s-weights.md"
---

# Limit MPT's weights

[MPT (Markowitz)](/glossary/mpt-markowitz) can be held to a direction, a minimum and maximum weight per [instrument](/glossary/instrument), and forced diversification, all set on the method in the [strategy](/glossary/strategy)'s **Allocation** card.

## Steps

1. Open the strategy's **Allocation** card and choose **MPT (Markowitz)** — or [Black-Litterman](/glossary/black-litterman), which shares every MPT setting.
2. At the strategy level, set **Position direction**: **Long-only** keeps every weight at 0 or more; **Long/short**, where it starts, allows negative weights. A [Combined](/glossary/combined) has no direction control.
3. Turn on **Weight limits**. Which plan includes them is on [MPT (Markowitz)](/glossary/mpt-markowitz#how-does-fincanva-handle-it).
4. Set **Min weight** (starts at 0) and **Max weight** (starts at 0.5, that is 50%) so that the number of instruments times **Max weight** reaches 100% and times **Min weight** does not pass it.
5. Turn on **Force diversification**, off by default, if you want the weights spread more evenly.
6. Read the strategy alerts to review on the Allocation card: they say when your limits leave capital in cash or invest nothing.

**Done.** At every [rebalance](/glossary/rebalance) the optimisation picks only weights inside the limits you set.

## What do the MPT constraint toggles do?

Three controls narrow which portfolios the optimisation is allowed to pick from. They change the answer by changing the admissible set — a tighter constraint can only move the result away from the unconstrained frontier point, or make the problem impossible to satisfy at all.

| Control | Effect |
|---|---|
| **[Position direction](/glossary/direction-long-only-long-short-short-only)** (strategy level only) | "Long-only requires every weight ≥ 0. Long/short allows negative weights (short positions)." At the [Combined level](/glossary/combined-level) MPT is positive-only by construction, so this control does not appear there. |
| **Weight limits** | "Constrain each instrument's weight to a range" — turning it on reveals **Min weight** and **Max weight**, which every instrument's weight must then respect. |
| **Diversification** | "Force diversification" spreads weights more evenly across instruments instead of letting the optimisation concentrate them in a few. On a small set of instruments it can leave nothing that satisfies every constraint at once. |

The weight-limit bounds themselves depend on the level and the direction: inside a **Combined** the weights run from 0 to 1; inside a single strategy set to **Long-only** they also run from 0 to 1, and set to **Long/short** they run from −1 to 1.

## What happens when the weight limits do not add up to 100%?

With **Weight limits** on, $N \times \text{Max weight}$ has to reach 100% and $N \times \text{Min weight}$ must not pass it, $N$ being the number of instruments the strategy holds. On a **Long-only** strategy — or a **Long/short** one whose **Min weight** is 0% or more, which the engine then solves as long-only — without **Force diversification**, a [strategy alert](/glossary/strategy-alerts) to review on the Allocation card says when either fails:

- **Maximum too low — part of the capital stays in cash.** 5 instruments at a Max weight of 10% invest at most 50%: "With 5 instruments and a maximum weight of 10%, the engine invests at most 50% and the rest stays in cash: raise the maximum weight or add instruments."
- **Minimum too high — nothing is invested.** 5 minimums of 25% ask for 125%, which no weights satisfy, so everything stays in cash: "With 5 instruments a minimum weight of 25% asks for more than 100%: the engine finds no valid weights and stays in cash. Bring the minimum below 20%."

$N$ is the number of instruments you picked, capped by [Max positions](/glossary/max-positions). With an entry [screener](/glossary/screener) the number is only known at each rebalance, so Max positions — the most the strategy can hold — stands in for it: the maximum-weight alert still speaks, because fewer instruments would leave even more in cash, while the minimum-weight one stays silent. Both alerts can be left as is when the setup is deliberate.

Fincanva is for education and illustration only. It is not personalised financial advice, and past or simulated results do not predict future ones. [Read the Terms Addendum](https://fincanva.com/terms/addendum#section-3)