rlongshort: Generate long short portfolios
In rportfolios: Random Portfolio Generation

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

This function generates m random long short portfolios with n investments with the given gross and net notional exposure requirements. There are k non-zero positions in the portfolio.

1 2	rlongshort(m, n = 2, k = n, segments = NULL, x.t.long = 1, x.t.short = x.t.long, max.iter = 2000, eps = 0.001)

`m`	A positive integer value for the number of portfolios generated
`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.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 arguments x.t, x.t.long and x.t.short are proportions of total invested capital.

An m \times n numeric matrix of investment weights for the long short portfolios

Frederick Novomestky fn334@nyu.edu

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.longshort

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### 100 portfolios of 30 investments with 30 non-zero positions
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x.matrix <- rlongshort( 100, 30 )
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### 100 portfolios of 30 investments with 10 non-zero positions
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y.matrix <- rlongshort( 100, 30, 20 )