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randomize_portfolio

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)

PortfolioAnalytics

Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

v1.1.0
GPL-2 | GPL-3
Authors
Brian G. Peterson [cre, aut, cph], Peter Carl [aut, cph], Kris Boudt [ctb, cph], Ross Bennett [ctb, cph], Hezky Varon [ctb], Guy Yollin [ctb], R. Douglas Martin [ctb]
Initial release
2018-05-17

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