Description Usage Arguments Details Value Author(s) See Also Examples
This function generates m random short only portfolios with n investments with each investment absolute weight bounded in an interval and the sum of the absolute value of weights equals a given amount.
1 2 | rshortonly(m, n = 2, k = n, segments=NULL, x.t = 1, x.l = 0,
x.u = x.t, max.iter = 1000)
|
m |
A positive integer value for the number of portfolios |
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 executes the function random.shortonly
using the R function
sapply. The result returned is the transpose of the matrix generated in the previous
step.
A numeric imes n matrix. The rows are the portfolios and the columns are the investment weights for each portfolio
Frederick Novomestky fn334@nyu.edu
1 2 | x.matrix <- rshortonly( 100, 30 )
y.matrix <- rshortonly( 100, 30, 10 )
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