random_portfolios_v1 {PortfolioAnalytics}

generate an arbitary number of constrained random portfolios

Description

repeatedly calls randomize_portfolio to generate an arbitrary number of constrained random portfolios.

Usage

random_portfolios_v1(rpconstraints, permutations = 100, ...)

Arguments

rpconstraints

an object of type "constraints" specifying the constraints for the optimization, see constraint

permutations

integer: number of unique constrained random portfolios to generate

...

any other passthru parameters

Value

matrix of random portfolio weights

Author(s)

Peter Carl, Brian G. Peterson, (based on an idea by Pat Burns)

See Also

constraint, objective, randomize_portfolio

Examples

rpconstraint<-constraint_v1(assets=10, 
                         min_mult=-Inf, 
                         max_mult=Inf, 
                         min_sum=.99, 
                         max_sum=1.01, 
                         min=.01, 
                         max=.4, 
                         weight_seq=generatesequence())
                         
rp<- random_portfolios_v1(rpconstraints=rpconstraint,permutations=1000)
head(rp)