Quantopian's community platform is shutting down. Please read this post for more information and download your code.
Back to Community
Rebalancing portfolio under constraints
Dim
posted Sep 26, 2016

I have a trading strategy which provides me with a list of candidates (stocks) for rebalancing my portfolio. I have also a list of stocks in my portfolios and I need to select which stocks from the candidates list will be added to the portfolio knowing that the portfolio has a maximum in term of number of stock and that the portfolio should respect some constraints.

Basically, a score is computed for each candidates. The same score exists for all position in the portfolio. The optimization should therefore be done by selecting a new portfolio containing the best stocks based on this score (current stocks in the portfolio and candidates) and fulfilling the constraints (historical vol, sector allocation,etc..).

I would like to know what is the best optimization technique to answer such question?

About Quantopian
Careers
Community
Events
Documentation
Academia
Lectures
Status
Facebook
Twitter
LinkedIn
YouTube
Terms of Use
Privacy Policy

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.