rportfolios: Random Portfolio Generation

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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.

Author
Frederick Novomestky <fn334@nyu.edu>
Date of publication
2016-08-19 13:37:41
Maintainer
Frederick Novomestky <fn334@nyu.edu>
License
GPL (>= 2)
Version
1.0-1

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