Shannon's demon aka portfolio rebalancing bonus
It is maybe the only holy grail in the financial field
Note: rebalancing cost should be calculated in real life, but for simplicity it is omitted
DONE Simulate one security
DONE Simulate multiple securities
DONE Calculate portfolio without rebalance
DONE Calculate portfolio with periodic rebalancing
DONE Extract metrics from portfolios
DONE Make sure to use streamlit
virtualenv -p python3.9 env && source env/bin/activate && pip install -r requirements.txt
streamlit run main.py
https://portfoliocharts.com/2022/04/12/unexpected-returns-shannons-demon-the-rebalancing-bonus/
https://thepfengineer.com/2016/04/25/rebalancing-with-shannons-demon/
https://matt-rickard.com/shannons-demon
https://www.youtube.com/watch?v=sR2JxfiH7gk
