Generate random portfolios using the sample method
This function generates random portfolios based on an idea by Pat Burns.
rp_sample(portfolio, permutations, max_permutations = 200)
portfolio |
an object of type "portfolio" specifying the constraints for the optimization, see |
permutations |
integer: number of unique constrained random portfolios to generate |
max_permutations |
integer: maximum number of iterations to try for a valid portfolio, default 200 |
The 'sample' method to generate random portfolios is based on an idea pioneerd by Pat Burns. This is the most flexible method, but also the slowest, and can generate portfolios to satisfy leverage, box, group, and position limit constraints.
a matrix of random portfolio weights
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