rp_transform: Transform a weights vector to satisfy constraints

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

Description

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.

Usage

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)

Arguments

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 sum(abs(weights))
weight_seq	vector of seed sequence of weights
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, Ross Bennett (based on an idea by Pat Burns)

PortfolioAnalytics documentation built on May 1, 2019, 10:56 p.m.