random.equal.test: Random equal weighted portfolios
In rportfolios: Random Portfolio Generation
Description
Usage
Arguments
Details
Value
Author(s)
References
Examples
Description
This function generates a random portfolio of n investments in which there are only k
positive equal weights. The sum of the weights is x_t.
The function is used to evaluate the performance of the portfolio generation algorithm.
Usage
1
random.equal.test(n = 2, k = n, segments = NULL, x.t = 1)
Arguments
n
A positive integer for the number of investments in the portfolio
k
A positive integer for the number of investments with positive equal weights
segments
A vector or list of vectors that defines the portfolio segments
x.t
The sum of the investment weights
Details
The R function sample is used to generate a simple random sample without replacement
of k values from the integers 1,2, … ,n. These are the subscripts into
an n \times 1 zero vector to assign
the equal weight x_t / k.
Value
A list with two named components.
x
An n \times 1 numerical vector of investment weights
iter
An integer value for the number of iterations used to obtain the investment weights
Author(s)
Frederick Novomestky fn334@nyu.edu
References
Evans, J. and S. Archer, 1968. Diversification and the Reduction of Risk: An Empirical Analysis,
Journal of Finance, 23, 761-767.
Upson, R. B., P. F. Jessup and K. Matsumoto, 1975. Portfolio Diversification Strategies,
Financial Analysts Journal, 31(3), 86-88.
Elton, E. J. and M. J. Gruber, 1977. Risk Reduction and Portfolio Size: An Analytical Solution,
Journal of Business, 50(4), 415-437.
Bird, R. and M. Tippett, 1986. Naive Diversification and Portfolio Risk - A Note,
Management Science, 32(2), 244-251.
Statman, M., 1987. How many stocks make a diversified portfolio, Journal of Financial and
Quantitative Analysis, 22, 353-363.
Newbould, G. D. and P. S. Poon, 1993. The minimum number of stocks needed for diversification,
Financial Practice and Education, 3, 85-87.
O'Neal, E. S., 1997. How Many Mutual Funds Constitute a Diversified Mutual Fund Portfolio,
Financial Analysts Journal, 53(2), 37-46.
Statman, M., 2004. The diversification puzzle, Financial Analysts Journal, 60, 48-53.
Benjelloun, H. and Siddiqi, 2006. Direct diversification with small stock portfolios.
Advances in Investment Analysis and Portfolio Management, 2, 227-252.
Benjelloun, H., 2010. Evans and Archer - forty years later, Investment Management and
Financial Innovation, 7(1), 98-104.
Examples
1
2
3
4
5
###
### equally weighted portfolio of 30 investments of which 5 are non-zero and
### the rest are zero. the weights sum to 1.
###
result <- random.equal.test( 30, 5 )
Example output
Loading required package: truncdist
Loading required package: stats4
Loading required package: evd
rportfolios documentation built on May 2, 2019, 3:40 p.m.
R Package Documentation
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Description Usage Arguments Details Value Author(s) References Examples
Description
This function generates a random portfolio of n investments in which there are only k positive equal weights. The sum of the weights is x_t. The function is used to evaluate the performance of the portfolio generation algorithm.
Usage
1 | random.equal.test(n = 2, k = n, segments = NULL, x.t = 1)
|
Arguments
n |
A positive integer for the number of investments in the portfolio |
k |
A positive integer for the number of investments with positive equal weights |
segments |
A vector or list of vectors that defines the portfolio segments |
x.t |
The sum of the investment weights |
Details
The R function sample is used to generate a simple random sample without replacement
of k values from the integers 1,2, … ,n. These are the subscripts into
an n \times 1 zero vector to assign
the equal weight x_t / k.
Value
A list with two named components.
x |
An n \times 1 numerical vector of investment weights |
iter |
An integer value for the number of iterations used to obtain the investment weights |
Author(s)
Frederick Novomestky fn334@nyu.edu
References
Evans, J. and S. Archer, 1968. Diversification and the Reduction of Risk: An Empirical Analysis, Journal of Finance, 23, 761-767.
Upson, R. B., P. F. Jessup and K. Matsumoto, 1975. Portfolio Diversification Strategies, Financial Analysts Journal, 31(3), 86-88.
Elton, E. J. and M. J. Gruber, 1977. Risk Reduction and Portfolio Size: An Analytical Solution, Journal of Business, 50(4), 415-437.
Bird, R. and M. Tippett, 1986. Naive Diversification and Portfolio Risk - A Note, Management Science, 32(2), 244-251.
Statman, M., 1987. How many stocks make a diversified portfolio, Journal of Financial and Quantitative Analysis, 22, 353-363.
Newbould, G. D. and P. S. Poon, 1993. The minimum number of stocks needed for diversification, Financial Practice and Education, 3, 85-87.
O'Neal, E. S., 1997. How Many Mutual Funds Constitute a Diversified Mutual Fund Portfolio, Financial Analysts Journal, 53(2), 37-46.
Statman, M., 2004. The diversification puzzle, Financial Analysts Journal, 60, 48-53.
Benjelloun, H. and Siddiqi, 2006. Direct diversification with small stock portfolios. Advances in Investment Analysis and Portfolio Management, 2, 227-252.
Benjelloun, H., 2010. Evans and Archer - forty years later, Investment Management and Financial Innovation, 7(1), 98-104.
Examples
1 2 3 4 5 | ###
### equally weighted portfolio of 30 investments of which 5 are non-zero and
### the rest are zero. the weights sum to 1.
###
result <- random.equal.test( 30, 5 )
|
Example output
Loading required package: truncdist
Loading required package: stats4
Loading required package: evd
R Package Documentation
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We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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