Transform a weights vector to satisfy constraints
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.
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)
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 |
weight_seq |
vector of seed sequence of weights |
max_permutations |
integer: maximum number of iterations to try for a valid portfolio, default 200 |
named weighting vector
Peter Carl, Brian G. Peterson, Ross Bennett (based on an idea by Pat Burns)
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