random.shortonly: Random short only portfolio
In rportfolios: Random Portfolio Generation

Description Usage Arguments Details Value Author(s) See Also Examples

This function generates a vector of investment weights for a portfolio where the weights are non-positive, absolute weights do not exceed a given upper and and the sum of the absolute weights weights is a given total. The number of non zero positions in the portfolio is k.

1 2	random.shortonly(n = 2, k = n, segments = NULL, x.t = 1, x.l = 0, x.u = x.t, max.iter = 1000)

`n`	A positive integer value for the number of investments in the portfolio
`k`	A positive integer value for the number of non zero weights
`segments`	A vector or list of vectors that defines the portfolio segments
`x.t`	A positive numeric value for the sum of the absolute value of investment weights
`x.l`	A positive numeric value for the lower bound on the absolute value of investment weights
`x.u`	A positive numeric value for the upper bound on the absolute value of investment weights
`max.iter`	A positive integer value for the maximum iterations in the rejection method

The function random.longonly is used to generate a long only portfolio that satisfies the lower bound, upper bound and sum of weight conditions. The value returned is a vector with the opposite signs.

An n \times 1 numeric vector of investment weights for the short only portfolio.

Frederick Novomestky fn334@nyu.edu

random.longonly

###
### generate short only portfolio of 30 investments with 30 non-zero positions
###
x <- random.shortonly( 30 )
###
### generate short only portfolio of 30 investments with 10 non-zero positions
###
y <- random.shortonly( 30, 10 )