A Linear Programming Solution to Re-balancing a Portfolio
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Document ID: 1999-683 (previously 1999/004)
Published on: 1st March 1999
Author: Phil Mowbray
A linear programming technique is utilised to minimise the transaction costs of rebalancing a portfolio to within a specified range for each asset class. The note presents the user defined Visual Basic function which calls the appropriate Fortran function.
