Description Usage Arguments Value Author(s) See Also Examples
repeatedly calls randomize_portfolio
to
generate an arbitrary number of constrained random
portfolios.
1 2 | random_portfolios_v1(rpconstraints, permutations = 100,
...)
|
rpconstraints |
an object of type "constraints"
specifying the constraints for the optimization, see
|
permutations |
integer: number of unique constrained random portfolios to generate |
... |
any other passthru parameters |
matrix of random portfolio weights
Peter Carl, Brian G. Peterson, (based on an idea by Pat Burns)
constraint
, objective
,
randomize_portfolio
1 2 3 | rpconstraint<-constraint(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)
|
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