randomize_portfolio {PortfolioAnalytics}

version 2 generate random permutations of a portfolio seed meeting your constraints on the weights of each asset

Description

version 2 generate random permutations of a portfolio seed meeting your constraints on the weights of each asset

Usage

randomize_portfolio(portfolio, max_permutations = 200)

Arguments

portfolio

an object of type "portfolio" specifying the constraints for the optimization, see portfolio.spec

max_permutations

integer: maximum number of iterations to try for a valid portfolio, default 200

Value

named weighting vector

Author(s)

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