random generation of constrained portfolio allocation weights

Posted by Ferdinando Ametrano-3 on
URL: http://quantlib.414.s1.nabble.com/random-generation-of-constrained-portfolio-allocation-weights-tp3309.html

Hi all

I need to generate random weights for a portfolio allocation, with max
constraints on the weights, no short sale allowed (e.g. 3 assets, each one
in the [0%, 40%] range)

I have no problem for the unconstrained generation, using (quasi)random
sequences of dimension 3 that I normalize so that their sum is 100%. I'm
not sure this approach is on solid theoretical ground, but it works.

Anyway when it comes to constrained generation many problems arise, and I
haven't found an efficient generation algorithm. Rejection of the
unconstrained portfolio is inefficient, of course.

Hints, suggestions, thoughts?

Even better would be a ready to be coded algorithm ;-)

ciao -- Nando