Python library for calculating the optimal number of shares given a portfolio using integer programming.
Project description
nshare-calc
Python package for calculating the optimal number of shares given a portfolio using integer programming.
Problem statement
Given a portfolio with total asset $S$, price vector $\mathbf p$ and weight vector $\mathbf w$, find integer vector $\mathbf n$ such that
- The total value of all stocks must not exceed the total asset, i.e., $\mathbf p \cdot \mathbf n \leq S$;
- Minimize the total absolute difference between the desired values and the actual values for all stocks, i.e., $\Sigma_i |S w_i - p_i n_i|$.
Installation
pip install nshare-calc
Usage
from nshare_calc import calc_n
# params
S = 100
p = [6, 5.5]
w = [0.6, 0.4] # w will be automatically normalized
n = calc_n(S, p, w) # Result: n = [10. 7.]
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