Portfolio Weights Rounding

Round the asset weights of a portfolio, optionally subject to:

• Minimum and maximum weights constraints
• Minimum and maximum group weights constraints
• Minimum and maximum portfolio exposure constraints

References

• M. Bomze, S. Gollowitzer, and E.A. Yildirim, Rounding on the unit simplex: Regular grids for global optimization, J. Global Optim. 59 (2014), pp. 243–258