Description Usage Arguments Details Value Author(s) References See Also Examples
This function generates a vector of investment weights for a portfolio with a given net and gross notional exposure. There are k non-zero positions in the portfolio. The function is used to evaluate the performance of the portfolio generation algorithm.
1 2 | random.longshort.test(n = 2, k = n, segments = NULL, x.t.long = 1, x.t.short = x.t.long,
max.iter = 2000, eps = 0.001)
|
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 |
x.t.long |
A positive real value for the sum of the long exposures |
x.t.short |
A positive real value for the sum of the absolute value of the short exposures |
max.iter |
A positive integer value for the maximum iterations in the acceptance rejection method |
eps |
A small positive real value for the convergence criteria for the gross notional exposure |
The function uses the same portfolio generation method described in random.longshort
.
The arguments x.t
, x.t.long
and x.t.short
are proportions of total invested capital.
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 |
Frederick Novomestky fn334@nyu.eu
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.
random.longonly
,
random.longshort
,
random.shortonly
1 2 3 4 5 6 7 8 | ###
### long short portfolio of 30 investments with 30 non-zero positions
###
x.result <- random.longshort.test( 30 )
###
### long short portfolio of 30 investments with 10 non-zero positions
###
x.result <- random.longshort.test( 30, 10 )
|
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