Drift-weight Portfolio Rebalancing

v1.0.0

Simulate the evolution of one or several portfolio(s) over one or several time period(s), the portfolio(s) being never rebalanced (a.k.a. buy and hold).

References

Input

{
  "type": "object",
  "required": [
    "assets",
    "portfolios"
  ],
  "properties": {
    "assets": {
      "type": "array",
      "items": {
        "type": "object",
        "required": [
          "assetPrices"
        ],
        "properties": {
          "assetPrices": {
            "type": "array",
            "description": "assetPrices[t] is the price of the asset at the time t",
            "items": {
              "type": "number"
            }
          }
        }
      }
    },
    "portfolios": {
      "type": "array",
      "items": {
        "type": "object",
        "required": [
          "assetsWeights"
        ],
        "properties": {
          "assetsWeights": {
            "type": "array",
            "description": "assetsWeights[i] is the weight of the asset i in the portfolio, in percentage",
            "items": {
              "type": "number"
            }
          }
        }
      }
    }
  }
}

Output

{
  "type": "object",
  "required": [
    "portfolios"
  ],
  "properties": {
    "portfolios": {
      "type": "array",
      "items": {
        "type": "object",
        "required": [
          "portfolioValues"
        ],
        "properties": {
          "portfolioValues": {
            "type": "array",
            "description": "portfolioValues[t] is the value of the portfolio at the time t",
            "items": {
              "type": "number"
            }
          }
        }
      }
    }
  }
}