random.shortonly.test: 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 is a given total. The number of non zero positions in the portfolio is k. The function is used to evaluate the performance of the portfolio generation algorithm.

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

`n`	An integer value for the number of investments in the portfolio
`k`	An integer value for the number of non zero weights
`segments`	A vector or list of vectors that defines the portfolio segments
`x.t`	Numeric value for the sum of the absolute value of the investment weights
`x.l`	Numeric value for the lower bound on the absolute value of an investment weight
`x.u`	Numeric value for the upper bound on the absolute value of an investment weight
`max.iter`	An integer value for the maximum iteration in the acceptance rejection loop

The function uses random.longonly.test to generate a long only portfolio in test mode. The component x compute is used to define the short portfolio. The short portfolio together with the component iter, the number of iterations used to construct the long only portfolio, are stored in a list of named components.

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.edu

random.shortonly

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