randomize_portfolio_v1 {PortfolioAnalytics}

Random portfolio sample method

Description

This function generates random permutations of a portfolio seed meeting leverage and box constraints. The final step is to run fn_map on the random portfolio weights to transform the weights so they satisfy other constraints such as group or position limit constraints. This is the 'sample' method for random portfolios and is based on an idea by Pat Burns.

Usage

randomize_portfolio_v1(rpconstraints, max_permutations = 200, rounding = 3)

Arguments

rpconstraints

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

max_permutations

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

rounding

integer how many decimals should we round to

Value

named weights vector

Author(s)

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