randomize_portfolio_v1: Random portfolio sample method
In braverock/PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios
randomize_portfolio_v1 R Documentation
Random portfolio sample method
Description
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.
Usage
randomize_portfolio_v1(rpconstraints, max_permutations = 200, rounding = 3)
Arguments
rpconstraints
an object of type "constraints" specifying the constraints for the optimization, see constraint
max_permutations
integer: maximum number of iterations to try for a valid portfolio, default 200
rounding
integer how many decimals should we round to
Value
named weights vector
Author(s)
Peter Carl, Brian G. Peterson, (based on an idea by Pat Burns)
braverock/PortfolioAnalytics documentation built on April 18, 2024, 4:09 a.m.
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| randomize_portfolio_v1 | R Documentation |
Random portfolio sample method
Description
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.
Usage
randomize_portfolio_v1(rpconstraints, max_permutations = 200, rounding = 3)
Arguments
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 |
Value
named weights vector
Author(s)
Peter Carl, Brian G. Peterson, (based on an idea by Pat Burns)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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