Description Usage Arguments Details Value Author(s) References See Also Examples
This function generates m random equal portfolios with k non-zero, equal weights and the sum of the weights equals x_t.
1 | requal(m, n = 2, k = n, x.t=1)
|
m |
A positive integer for the number of portfolios in the sample |
n |
A positive integer for the number of non-zero equal weights |
k |
A positive integer for the number of investments in the portfolio |
x.t |
A positive number for the sum of the weights |
The function executes the function random.equal
using the R function
sapply. The result returned is the transpose of the matrix generated in the previous
step.
A numeric m \times n matrix. The rows are the portfolios and the columns are the investment weights for each portfolio
Frederick Novomestky fn334@nyu.edu
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.
1 2 3 4 | ###
### generate 100 equal weighted portfolios of 30 investments with 10 non zero positions
###
x.matrix <- requal( 100, 30, 10 )
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