random_portfolios_v1: generate an arbitary number of constrained random portfolios

In PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

generate an arbitary number of constrained random portfolios

Description

repeatedly calls randomize_portfolio to generate an arbitrary number of constrained random portfolios.

Usage

random_portfolios_v1(rpconstraints, permutations = 100, ...)

Arguments

rpconstraints	an object of type "constraints" specifying the constraints for the optimization, see constraint
permutations	integer: number of unique constrained random portfolios to generate
...	any other passthru parameters

Value

matrix of random portfolio weights

Author(s)

Peter Carl, Brian G. Peterson, (based on an idea by Pat Burns)

See Also

constraint, objective, randomize_portfolio

Examples

rpconstraint<-constraint_v1(assets=10, 
                         min_mult=-Inf, 
                         max_mult=Inf, 
                         min_sum=.99, 
                         max_sum=1.01, 
                         min=.01, 
                         max=.4, 
                         weight_seq=generatesequence())
                         
rp<- random_portfolios_v1(rpconstraints=rpconstraint,permutations=1000)
head(rp)

PortfolioAnalytics documentation built on July 4, 2024, 1:06 a.m.