Random portfolio sample method
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.
randomize_portfolio_v1(rpconstraints, max_permutations = 200, rounding = 3)
rpconstraints |
an object of type "constraints" specifying the constraints for the optimization, see |
max_permutations |
integer: maximum number of iterations to try for a valid portfolio, default 200 |
rounding |
integer how many decimals should we round to |
named weights vector
Peter Carl, Brian G. Peterson, (based on an idea by Pat Burns)
Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.