Description Usage Arguments Details Value Author(s) References See Also Examples
This function generates an actively managed random portfolio relative to a given benchmark portfolio. The active portfolio is the sum of the benchmark portfolio and a notional neutral long short portfolio with given gross notional exposure. The number of non zero positions in the long short portfolio is k.
1 2 | random.active(x.b, x.g, k = length( x.b ), segments = NULL, max.iter = 2000,
eps = 0.001)
|
x.b |
A numeric vector with the investment weights in the benchmark portfolio |
x.g |
A positive numeric value for the gross notional exposure in the long short portfolio |
k |
A positive integer value for the number of non zero positions in the long short portfolio |
segments |
A vector or list of vectors that defines the portfolio segments |
max.iter |
A positive integer value for the maximum iterations for the long short portfolio |
eps |
A small positive real value for the convergence criteria for the gross notional exposure |
The algorithm uses the function random.longshort
to generate long portfolios that have identical
total long and short exposures equal to one half the given gross notional exposure x.g
.
The resultant portfolio x.ls
is algebraically added to the benchmark portfolio x.b
.
An n \times 1 numeric vector with the investment weights.
Frederick Novomestky fn334@nyu.edu
Jacobs, B. I. and K. N. Levy, 1997. The Long and Short of Long-Short Investing, Journal of Investing, Spring 1997, 73-86.
Jacobs, B. I., K. N. Levy and H. M. Markowitz, 2005. Portfolio Optimization with Factors, Scenarios and Realist Short Positions, Operations Research, July/August 2005, 586-599.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 | ###
### the benchmark portfolios consists of 30 equally weighted investments
###
x.b <- rep( 1, 30 ) / 30
###
### the gross notional exposure of the long short portfolio is a benchmark weight
###
x.g <- 1 / 30
###
### generate 100 active portfolios with 30 non zero positions in the long short portolios
###
x <- random.active( x.b, x.g )
###
### generate 100 active portfolios with 10 non zero positions in the long short portolios
###
y <- random.active( x.b, x.g, 10 )
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