Rebalancing a portfolio with optimal buy/sell/hold decisions using Metaheuristics.
The objective is to rebalance an existing portfolio with optimal buy/sell/hold decisions so as to obtain a rebalanced portfolio with maximal Sharpe Ratio, one that is self financing and whose risk does not exceed that of the original portfolio's. A metaheuristic algorithm, viz., Evolution Strategy with Hall of Fame (ES HOF) has been evolved to obtain the optimal rebalanced portfolio.
The portfolio rebalancing model has been demonstrated over an equity portfolio of 30 assets invested in S&P BSE200 index (Bombay Stock Exchange, India) during April 02, 2019 and kept untended up till June 01, 2020 before rebalancing it on June 02, 2020. The results obtained by the model when the aforementioned rebalanced portfolio was kept untended until Jan 26, 2021 and rebalanced again on Jan 27, 2021, have also been presented.
The Jupyter Notebook "MainContent.ipynb" holds the Python live codes, the explanatory text, equations and visualization of results.