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I am rebalancing portfolio , where my algorithm has recommended new securities also there are few existing in my portfolio. For simplicity , let's say I want to wight my securities based in mean return. New securities are included because they have high returns. Screenshot for example is given

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There could be cases where in spreadsheet I have only existing securities and all have negative returns. That mean no new security is recommended. as shown below

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aim is in invest/weight up in securities that are expected to give positive returns and weight down the securities that are expected to give negative returns. what could be single right approach (formula) to handle different cases .

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  • $\begingroup$ Your question is not specific enough. There are way too many answers. For example, you could try a simple equal-weighted approach based on assets that have a positive mean return as of today, you could take the top 10% of assets as of today, you could long and short top and bottom 10% etc. $\endgroup$
    – KaiSqDist
    Commented Jul 11 at 11:57

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