rp_transform: Transform a weights vector to satisfy constraints

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
)

Value

named weighting vector

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

Author

Peter Carl, Brian G. Peterson, Ross Bennett (based on an idea by Pat Burns)