Skip to content

DirkKuhn/rebalancer

Repository files navigation

Simple CLI-based portfolio re-balancing tool

When investing in multiple assets, it is common to specify target percentages for each asset. As prices fluctuate, these percentages are violated over time. To keep a steady risk profile, when investing new money, this payment should be distributed among the assets such that the new percentages are as close as possible to the original ones.

Basically the convex optimization problem $$\min ||desired - (current + payment \cdot x)||_2 \quad s.t. x \geq 0, sum(x)=1$$ has to be solved. This is done using cvxpy, a convex optimization library.

About

No description, website, or topics provided.

Resources

License

Stars

Watchers

Forks

Releases

No releases published

Packages

No packages published

Languages