rp_sample: Generate random portfolios using the sample method

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

Generate random portfolios using the sample method

Description

This function generates random portfolios based on an idea by Pat Burns.

Usage

rp_sample(portfolio, permutations, max_permutations = 200)

Arguments

portfolio	an object of type "portfolio" specifying the constraints for the optimization, see portfolio.spec
permutations	integer: number of unique constrained random portfolios to generate
max_permutations	integer: maximum number of iterations to try for a valid portfolio, default 200

Details

The 'sample' method to generate random portfolios is based on an idea pioneerd by Pat Burns. This is the most flexible method, but also the slowest, and can generate portfolios to satisfy leverage, box, group, and position limit constraints.

Value

a matrix of random portfolio weights

braverock/PortfolioAnalytics documentation built on April 18, 2024, 4:09 a.m.