Key Features

Distance Constraints

Description

There are several concepts of the distance between portfolios. These include the amount of money that it takes to trade from one portfolio to the other, and the sum of absolute differences in weights.

A distance constraint limits the distance between the portfolio (or trade) and some target portfolio.

Implementation

Portfolio Probe uses the dist.center, dist.bounds and related arguments to do this.

Other key features

Generate Random Portfolios

Portfolio Optimization

Utility-free Optimization

Contraints and flexibility

Transaction Costs

Computing Engine

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