monte_carlo_portfolios: Monte Carlo asset weights into portfolios

In metafolio: Metapopulation Simulations for Conserving Salmon Through Portfolio Optimization

Monte Carlo asset weights into portfolios

Description

Monte Carlo the asset weights into portfolios and record the simulation output and portfolio metrics (mean and variance).

Usage

monte_carlo_portfolios(
  weights_matrix,
  n_sims = 500,
  mean_b = 1000,
  burn = 1:30,
  ...
)

Arguments

weights_matrix	A matrix of asset weights. The columns correspond to the different assets and the rows correspond to the simulation iterations.
n_sims	The number of simulations to run.
mean_b	The mean Ricker capacity value.
burn	The number of years to discard as burn in.
...	Anything else to pass to meta_sim.

Value

A list object with three elements: port_vals (a matrix with a column of mean rate of change and variance of rate of change), n_sims (the number of simulations ran), and sims_out (a list in which each element corresponds to the output from the run of meta_sim.

See Also

meta_sim, create_asset_weights

Examples

weights_matrix <- create_asset_weights(n_pop = 4, n_sims = 3,
  weight_lower_limit = 0.001)
mc_ports <- monte_carlo_portfolios(weights_matrix = weights_matrix,
  n_sims = 3, mean_b = 1000)

metafolio documentation built on Oct. 21, 2023, 1:06 a.m.