The Lazy Portfolio Allocation Algorithm, first described by Albert H. Mao [1], is a way of keeping your portfolio balanced with regular contributions or withdraws, without the need for any explicit balancing operations. It takes a list of assets (which could be funds, accounts, etc), their current values, and their target or desired allocation percentage, as well as an amount to contribute. The algorithm then calculates the optimal way to split up the contribution between the assets such as to minimize each asset's deviation from the desired allocation.
[1] Optimal lazy portfolio rebalancing calculator (http://optimalrebalancing.tk/index.html)
This repository holds my writeup and reference implementation for the Lazy Portfolio Allocation Algorithm. The writeup takes the form of a Jupyter notebook, and can be viewed in one of these forms:
Additionally, reference implementations may be found in these files:
- lazy.py Python
- lazy-googlesheets.js Google Sheets App Script