Dynamic Optimisation with Trading Restrictions

[craigmediaservices]

What is the best way to handle instruments I have data for, but can’t trade?

Since dynamic optimization is essentially tracking error minimization, would it make sense to include as many instruments as possible?

The alternative, which makes more sense by default, to remove any instruments from the system which can’t actually be held as positions.

Thank you!

[craigmediaservices]

My bad, Rob already answered this

"Because of the dynamic optimisation that my system uses, it's possible for me to calculate optimal positions for instruments that I can't / won't actually trade. And in any case, one might want to include such markets when backtesting - more data is always better!"