A repository containing the source code for Summer 2018 Pinnacle Scholars research at the Stevens Institute of Technology. This research focuses on the topic of Dynamic Portfolio Rebalancing methods.
The foundation of this project is loosely based on the working paper Optimal Rebalancing Strategy Using Dynamic Programming for Institutional Portfolios by Walter Sun, et. al. [1].
[1] Walter Sun, Ayres Fan, Li-Wei Chen, Tom Schouwenaars, Marius A Albota, Ed Freyfogle, Josh Grover. Optimal rebalancing strategy using dynamic programming for institutional portfolios