Description Usage Arguments Value Author(s)
This function generates random permutations of a
portfolio seed meeting leverage and box constraints. The
final step is to run fn_map
on the random
portfolio weights to transform the weights so they
satisfy other constraints such as group or position limit
constraints. This is the 'sample' method for random
portfolios and is based on an idea by Pat Burns.
1 2 | randomize_portfolio_v1(rpconstraints,
max_permutations = 200, rounding = 3)
|
rpconstraints |
an object of type "constraints"
specifying the constraints for the optimization, see
|
max_permutations |
integer: maximum number of iterations to try for a valid portfolio, default 200 |
rounding |
integer how many decimals should we round to |
named weights vector
Peter Carl, Brian G. Peterson, (based on an idea by Pat Burns)
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