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Portfolio Rebalancing

An application using basic portfolio algorithms

Getting Started

Pick an IDE such as visual studio, or Jetbrains rider or run with the dotnet command line

Prerequisites

Install netcore 2.1

Running the tests

Test projects follow the convention Project.Tests

You can run using the dotnet command below or simply run testsin your ide of choice

dotnet test project.csproj

Storage

Input data taken from .... is stored on Redis

Project Deployment

Project is deployed on Heroku

Rational of Project

Instead of rebalancing using typical methods such as calendar basis or tolerance band triggers balance based on the cost of rebalancing in terms of risk-adjusted returns net of transaction costs.

Acknowledgments

The algorithms are built on ideas from this MIT whitepaper http://ssg.mit.edu/group/fan/papers/SSRN_opt_rebal.pdf

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A basic implementation of MIT's Portfolio rebalancing Strategy

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