Solver for a generic optimal portfolio

The diversification return is a side effect of rebalancing.

To 'optimize' for diversification return, you'll still need some other 
objectives and constraints.

In any complex feasible space for optimization with a non-trivial number 
of assets, you can often find multiple portfolios with similar base 
properties (like return and variance).  You could, in theory, maximize 
diversification return by finding neighboring 'near-optimal' portfolios 
on your other objectives and constraints and then choosing among them 
with a preference for higher turnover.

This, of course, will incur significant rebalancing costs. These 
associated costs are why a continuously rebalanced portfolio is 
unrealistic, and why most portfolio construction methodologies try to 
minimize turnover. (There are other reasons for minimizing turnover too, 
but those are the ones most often discussed).

We still don't know enough about what the other objectives and 
constraints you have for your portfolio to recommend a specific solver.

Regards,

Brian

Solver for a generic optimal portfolio

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