random.general: Random general portfolio

In rportfolios: Random Portfolio Generation

Description

This function generates a general random portfolio of n investments with k long or short positiobs, The probability that a a non-zero investment weight is positive is p. The maximum absolute exposure for any investment is x.u. The default value is 1.

Usage

random.general(n = 2, k=n, segments=NULL, p = 0.5, x.u = 1)

Arguments

n	A positive integer value for the number of investments in the portfolio
k	A positive integer value for the number of non-zero positions
segments	A vector or list of vectors that defines the portfolio segments
p	A positive numeric value for the probability that an investment weight is positive
x.u	A positive numeric value for the maximum absolute exposure to an investment

Details

If k < n the function random.general is recursively called with n set equal to k to obtain a k \times 1 vector of non-zero long and short weights. 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 k non-zero weights. This vector is returned.

If k = n , the R function rbinom is used to generate a vector of plus and minus ones corresponding to the long and short positions. The R function runif is used to generate uniformly distributed values between 0 and 1. These are scaled by x.u and then multiplied by the signs. The sum of the investment weights is not restricted.

Value

An n \times 1 numeric vector of investment weights for the equal weighted portfolio.

Author(s)

Frederick Novomestky [e-mail]

Examples

###
### long only portfolio of 30 investments with 30 non zero positions
###
x.long <- random.general( 30, p=1.0 )
###
### long only portfolio of 30 investments with 10 non zero positions
###
y.long <- random.general( 30, 10, p=1.0 )
###
### short only portfolio of 30 investments with 30 non zero positions
###
x.short <- random.general( 30, p=0.0 )
###
### short only portfolio of 30 investments with 10 non zero positions
###
y.short <- random.general( 30, 10, p=1.0 )
###
### long short portfolio of 30 investments with 30 non zero positions
###
x.long.short <- random.general( 30, p=0.5 )
###
### long short portfolio of 30 investments with 10 non zero positions
###
y.long.short <- random.general( 30, 10, p=0.5 )
###
### long bias portfolio of 30 investments with 30 non zero positions
###
x.long.bias <- random.general( 30, p=0.7 )
###
### long bias portfolio of 30 investments with 10 non zero positions
###
y.long.bias <- random.general( 30, 10, p=0.7 )
###
### short bias portfolio of 30 investments with 30 non zero positions
###
x.short.bias <- random.general( 30, p=0.3 )
###
### short bias portfolio of 30 investments with 10 non zero positions
###
y.short.bias <- random.general( 30, 10, p=0.3 )

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.