🎯 ILP Portfolio Rebalancing Solver
Mathematical optimization for minimal cash remainder & target allocation
📐 Mathematical Formulation (ILP)
Decision Variables:
x[i] = number of shares to buy of asset i ∈ {0, 1, 2, 3, ...}
Objective Function:
Minimize: cash_remainder + α × deviation_penalty
Where:
cash_remainder = budget - Σ(x[i] × price[i])
deviation_penalty = Σ|actual_percentage[i] - target_percentage[i]|
α = penalty weight for allocation deviation
Constraints:
1. Budget constraint: Σ(x[i] × price[i]) ≤ budget
2. Integer constraint: x[i] ∈ {0, 1, 2, 3, ...} for all i
3. Non-negativity: x[i] ≥ 0 for all i
Solution Method:
Complete enumeration for small problems or branch-and-bound for larger ones
💼 Current Portfolio
📊 Optimization Results
| Method |
VWCE Shares |
VEUR Shares |
Total Cost |
Cash Remaining |
Final Allocation |
Deviation |
Objective Score |