Portfolio optimization – integer constraints and non-convex functions – Python

I need someone with past experience in portfolio management to write a python optimization script for a portfolio of futures contracts.

The script will need to optimize 2 functions:

Optimization 1 –> Maximize Sharpe ratio (expected return net of transaction costs / Portfolio volatility), given constraints in terms of portfolio risk (within a specified range).

Optimization 2 –> Maximize a function including the diversification ratio and transaction costs, given constraints in terms of portfolio risk (within a specified range) and minimum sharpe ratio.

For more datails, please take a look at the attached specifics document and sample dataset.

In both cases, the output variable is the optimal number of contracts to hold for each of the around 300 available instruments. Since we are talking about futures, the variable needs to be integer and can be either positive or negative.

The script shall use a free solver, able to find the global optimum solution for the two problems.