rportfolios: Random Portfolio Generation

A collection of tools used to generate various types of random portfolios. The weights of these portfolios are random variables derived from truncated continuous random variables.

AuthorFrederick Novomestky <fn334@nyu.edu>
Date of publication2016-08-19 13:37:41
MaintainerFrederick Novomestky <fn334@nyu.edu>
LicenseGPL (>= 2)
Version1.0-1

View on CRAN

Man pages

collapse.segments: Collapse a list or vectors of portfolio segments

extract.segments: Extract Investment Segment Exposures

overweight.segments: Overweight Active Investment Segment Exposures

portfolio.composite: Merge portfolios into a composite

portfolio.difference: Portfolio Difference Measure

portfolio.diversification: Portfolio Diversification Measure

ractive: Generate random active portfolios

ractive.test: Generate random active portfolios

random.active: Random actively managed portfolio

random.active.test: Random actively managed portfolio

random.benchmark: Random Naive Benchmark Portfolios

random.benchmark.test: Random Naive Benchmark Portfolio

random.bounded: Random bounded portfolio

random.bounded.test: Random bounded portfolio

random.equal: Random equal weighted portfolios

random.equal.test: Random equal weighted portfolios

random.general: Random general portfolio

random.general.test: Random general portfolio

random.longonly: Random long only portfolio

random.longonly.test: Random long only portfolio

random.longshort: Generate random long short porfolio

random.longshort.test: Random long short portfolio test

random.shortonly: Random short only portfolio

random.shortonly.test: Random short only portfolio

rbenchmark: Generate random naive benchmark portfolios

rbenchmark.test: Generate random naive benchmark portfolios

rbounded: Random bounded portfolios

rbounded.test: Random bounded portfolios

requal: Generate equal weighted portfolios

requal.test: Generate equal weighted portfolios

rgeneral: Generate random general portfolios

rgeneral.test: Generate random general portfolios

rlongonly: Generate random long only portfolios

rlongonly.test: Generate random long only portfolios

rlongshort: Generate long short portfolios

rlongshort.test: Generate random long short portfolios

rshortonly: Generate short only portfolios

rshortonly.test: Generate random short only portfolios

segment.complement: Complement of Investment Segments

set.segments: Set segment weights from portfolios

underweight.segments: Underweight Active Investment Segment Exposures

Files in this package

rportfolios
rportfolios/NAMESPACE
rportfolios/R
rportfolios/R/random.benchmark.test.R rportfolios/R/random.active.R rportfolios/R/random.bounded.R rportfolios/R/rlongshort.R rportfolios/R/random.longonly.R rportfolios/R/overweight.segments.R rportfolios/R/ractive.test.R rportfolios/R/rshortonly.R rportfolios/R/random.bounded.test.R rportfolios/R/random.longonly.test.R rportfolios/R/rgeneral.test.R rportfolios/R/ractive.R rportfolios/R/requal.test.R rportfolios/R/underweight.segments.R rportfolios/R/rbounded.R rportfolios/R/portfolio.difference.R rportfolios/R/rbounded.test.R rportfolios/R/random.equal.test.R rportfolios/R/random.general.R rportfolios/R/random.general.test.R rportfolios/R/random.benchmark.R rportfolios/R/rlongonly.R rportfolios/R/rbenchmark.test.R rportfolios/R/portfolio.diversification.R rportfolios/R/set.segments.R rportfolios/R/collapse.segments.R rportfolios/R/random.longshort.test.R rportfolios/R/rgeneral.R rportfolios/R/rlongonly.test.R rportfolios/R/rbenchmark.R rportfolios/R/requal.R rportfolios/R/random.active.test.R rportfolios/R/random.longshort.R rportfolios/R/rshortonly.test.R rportfolios/R/portfolio.composite.R rportfolios/R/rlongshort.test.R rportfolios/R/vector.rescale.weights.R rportfolios/R/extract.segments.R rportfolios/R/random.shortonly.R rportfolios/R/random.shortonly.test.R rportfolios/R/segment.complement.R rportfolios/R/random.equal.R
rportfolios/MD5
rportfolios/DESCRIPTION
rportfolios/man
rportfolios/man/random.longshort.test.Rd rportfolios/man/portfolio.difference.Rd rportfolios/man/requal.test.Rd rportfolios/man/rshortonly.test.Rd rportfolios/man/rbounded.test.Rd rportfolios/man/random.equal.Rd rportfolios/man/random.longonly.Rd rportfolios/man/random.shortonly.test.Rd rportfolios/man/random.shortonly.Rd rportfolios/man/random.bounded.test.Rd rportfolios/man/random.bounded.Rd rportfolios/man/random.general.Rd rportfolios/man/rlongonly.Rd rportfolios/man/random.benchmark.test.Rd rportfolios/man/random.active.Rd rportfolios/man/rshortonly.Rd rportfolios/man/ractive.Rd rportfolios/man/set.segments.Rd rportfolios/man/rlongshort.test.Rd rportfolios/man/random.equal.test.Rd rportfolios/man/rbenchmark.test.Rd rportfolios/man/rbenchmark.Rd rportfolios/man/collapse.segments.Rd rportfolios/man/rgeneral.Rd rportfolios/man/rgeneral.test.Rd rportfolios/man/rlongonly.test.Rd rportfolios/man/overweight.segments.Rd rportfolios/man/random.longonly.test.Rd rportfolios/man/random.benchmark.Rd rportfolios/man/ractive.test.Rd rportfolios/man/random.active.test.Rd rportfolios/man/rlongshort.Rd rportfolios/man/portfolio.diversification.Rd rportfolios/man/random.general.test.Rd rportfolios/man/underweight.segments.Rd rportfolios/man/portfolio.composite.Rd rportfolios/man/requal.Rd rportfolios/man/random.longshort.Rd rportfolios/man/segment.complement.Rd rportfolios/man/extract.segments.Rd rportfolios/man/rbounded.Rd

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