[GSoC-PortA] Random portfolios

Peter Carl peter at braverock.com
Tue Sep 24 16:28:07 CEST 2013


The random_portfolios function isn't generating the correct number of
permutations.

> random_portfolios(portfolio=init.portf, permutations=1000)

gives me a result with 317 weight vectors, rather than 1000.

I think that there's a loop missing: when the number of lines is less than
permutations, the function needs to generate more, check for unique
solutions, and repeat until there are (in this case) 1000 weight vectors.

Although (and it's difficult to tell), on their own the charts seem to
generate about the right number?  Or maybe not...

pcc
-- 
Peter Carl
http://www.braverock.com/peter





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