rp_transform {PortfolioAnalytics}

Transform a weights vector to satisfy constraints

Description

This function uses a block of code from randomize_portfolio to transform the weight vector if either the weight_sum (leverage) constraints, box constraints, group constraints, position_limit constraints, or leverage exposure constraints are violated. The logic from randomize_portfolio is heavily utilized here with extensions to handle more complex constraints. The resulting weights vector might be quite different from the original weights vector.

Usage

rp_transform(
  w,
  min_sum,
  max_sum,
  min_box,
  max_box,
  groups = NULL,
  cLO = NULL,
  cUP = NULL,
  max_pos = NULL,
  group_pos = NULL,
  max_pos_long = NULL,
  max_pos_short = NULL,
  leverage = NULL,
  weight_seq = NULL,
  max_permutations = 200
)

Arguments

w

weights vector to be transformed

min_sum

minimum sum of all asset weights, default 0.99

max_sum

maximum sum of all asset weights, default 1.01

min_box

numeric or named vector specifying minimum weight box constraints

max_box

numeric or named vector specifying maximum weight box constraints

groups

vector specifying the groups of the assets

cLO

numeric or vector specifying minimum weight group constraints

cUP

numeric or vector specifying minimum weight group constraints

max_pos

maximum assets with non-zero weights

group_pos

vector specifying maximum number assets with non-zero weights per group

max_pos_long

maximum number of assets with long (i.e. buy) positions

max_pos_short

maximum number of assets with short (i.e. sell) positions

leverage

maximum leverage exposure where leverage is defined as sum(abs(weights))

weight_seq

vector of seed sequence of weights

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, Ross Bennett (based on an idea by Pat Burns)