adityaxdiwakar/affine

Optimal Non-Fractional Portfolio Allocation using Linear Programming

👋 Hey! I'm Aditya.

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🍎 About Me

• 🔬 Quantitative Developer at Citadel Securities
• 🐝 Alumni of Georgia Institute of Technology (Mathematics & Computer Science)
• 📬 Reach out to me @ [email protected] to chat!
• 🙅 To recruiters, etc: Do not reach out, thank you.

affine's Issues

Additional positions

Since rebalancing is expense, every time additional funds can be allocated towards purchasing of stock, the funds should be limited to additional shares to maximize proportions (and cash utilization rate), without trying to sell stock.

For example, currently, the system may suggest a lower total number of shares of some stock if a more optimal mix could be gotten with fewer shares of some name. Unfortunately, however, this optimality does not consider implicit cost associated with selling stock.