Random-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 rebalanced toward random weights at the beginning of each time period.

References

Input

{
  "type": "object",
  "required": [
    "assets"
  ],
  "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": "integer",
      "description": "The number of portfolios to simulate"
    }
  }
}

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"
            }
          }
        }
      }
    }
  }
}