Tactical Asset Allocation Optimized

Tactical Asset Allocation and the Concept of Mean-Variance Optimization.cpp

#include <iostream>
#include <vector>
#include <algorithm>

using namespace std;

// Define a class for a portfolio asset
class Asset {
public:
    string name;
    double price;
    double weight;
    Asset(string name, double price, double weight) : name(name), price(price), weight(weight) {}
};

// Define a class for a portfolio
class Portfolio {
private:
    vector<Asset> assets;
    double total_value;

public:
    Portfolio(vector<Asset> assets, double total_value) : assets(assets), total_value(total_value) {}

    // Rebalance the portfolio to match the target asset weights
    void rebalance() {
        // Calculate the total value of the portfolio
        total_value = 0;
        for (auto& asset : assets) {
            total_value += asset.price * asset.weight;
        }
        // Calculate the target value for each asset
        for (auto& asset : assets) {
            double target_value = total_value * asset.weight;
            // Calculate the number of shares needed to achieve the target value
            double shares = target_value / asset.price;
            // Round the number of shares to the nearest whole number
            long long int rounded_shares = round(shares);
            // Update the asset weight based on the number of shares
            asset.weight = rounded_shares / total_value;
        }
    }
};

int main() {
    // Create a portfolio with three assets
    vector<Asset> assets = {{"Stock A", 100, 0.5}, {"Stock B", 50, 0.3}, {"Stock C", 200, 0.2}};
    Portfolio portfolio(assets, 1000);
    // Rebalance the portfolio
    portfolio.rebalance();
    // Print the resulting asset weights
    for (auto& asset : portfolio.assets) {
        cout << asset.name << ": " << asset.weight << endl;
    }
    return 0;
}