siavashadpey / rebalance Goto Github PK

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This issue was generated by todo based on a todo comment in bc746f6 when #12 was merged. cc @siavashadpey.

I think the expression for j1 lacks a scaling factor of 0.5 to be in the range of (0, 1) as claimed in the comment:

This will very slightly shift the final penalty j1 + j2 giving a bit more weight to unused cash. No real practical effect, just for beauty, though.

This is a straightforward-to-use solution to aid during the accumulation phase, where funds are being added to a portfolio. Can you speculate on what changes would be required to utilize this solution when funds are withdrawn from a portfolio as part of the deaccumulation phase, e.g., during retirement?

Putting a negative value in the cash_amounts variable (to indicate how much cash should be withdrawn from the portfolio) resulted in an error in the SLSQP Optimizer which stated that the lower bound was greater than the upper bound.