Implementing an investable portfolio from an optimal portfolio

less than 1 minute read

As an investor, have you ever wondered how to convert an optimal portfolio1, possibly made of real-valued weights with dozens of decimals (e.g., 12.3456789%) into an investable portfolio, made of integer-valued allocations (e.g. 2 shares) ?

I wrote a two-part series on Medium about this subject, using as examples the implementation with ETFs of the Harry Browne’s Permanent Portfolio and of a 60/40 Portfolio:

  1. From optimal to investable: implementing a portfolio of ETFs, part 1
  2. From optimal to investable: implementing a portfolio of ETFs, part 2
  1. For example computed by portfolio optimization algorithms like the ones provided by Portfolio Optimizer