How to make a random list with a sum of 1 with minimum and maximum limits for each element?-CodePudding

I'm currently working on a long-short portfolio optimization project with python.

The thing is that I have to generate a list that has a sum of 1 and each element of the list should be larger or equal to -1 and smaller and equal to 5.

The length of the list must be 5 and the elements should be floats.

Is there a way that I could make such a list?

CodePudding user response：

Due to the constraint that the weights must sum to 1, there are only really four sources of randomness here. So, generate potential weights for the first four assets:

weights = [random.uniform(-1, 5) for i in range(4)]

then infer if the final weight final_weight = 1 - sum(weights) meets requirements. So something like:

def generate_weights():
    while True:
        weights = [random.uniform(-1, 5) for i in range(4)]
        weights.append(1 - sum(weights))
        if -1 <= weights[-1] <= 5:
            return weights