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.

Install the latest version of this package by entering the following in R:
AuthorFrederick Novomestky <fn334@nyu.edu>
Date of publication2016-08-19 13:37:41
MaintainerFrederick Novomestky <fn334@nyu.edu>
LicenseGPL (>= 2)

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


collapse.segments Man page
extract.segments Man page
overweight.segments Man page
portfolio.composite Man page
portfolio.difference Man page
portfolio.diversification Man page
ractive Man page
ractive.test Man page
random.active Man page
random.active.test Man page
random.benchmark Man page
random.benchmark.test Man page
random.bounded Man page
random.bounded.test Man page
random.equal Man page
random.equal.test Man page
random.general Man page
random.general.test Man page
random.longonly Man page
random.longonly.test Man page
random.longshort Man page
random.longshort.test Man page
random.shortonly Man page
random.shortonly.test Man page
rbenchmark Man page
rbenchmark.test Man page
rbounded Man page
rbounded.test Man page
requal Man page
requal.test Man page
rgeneral Man page
rgeneral.test Man page
rlongonly Man page
rlongonly.test Man page
rlongshort Man page
rlongshort.test Man page
rshortonly Man page
rshortonly.test Man page
segment.complement Man page
set.segments Man page
underweight.segments Man page


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

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