randomReturns: Create a Random Returns

In enricoschumann/NMOF: Numerical Methods and Optimization in Finance

Create a Random Returns

Description

Create a matrix of random returns.

Usage

randomReturns(na, ns, sd, mean = 0, rho = 0, exact = FALSE)

Arguments

na	number of assets
ns	number of return scenarios
sd	the standard deviation: either a single number or a vector of length na
mean	the mean return: either a single number or a vector of length na
rho	correlation: either a scalar (i.e. a constant pairwise correlation) or a correlation matrix
exact	logical: if TRUE, return a random matrix whose column means, standard deviations and correlations match the specified values exactly (up to numerical precision)

Details

The function corresponds to the function random_returns, described in the second edition of NMOF (the book).

Value

a numeric matrix of size na times ns

Note

The function corresponds to the function random_returns, described in the second edition of NMOF (the book).

Author(s)

Enrico Schumann

References

Gilli, M., Maringer, D. and Schumann, E. (2019) Numerical Methods and Optimization in Finance. 2nd edition. Elsevier. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1016/C2017-0-01621-X")}

Schumann, E. (2023) Financial Optimisation with R (NMOF Manual). http://enricoschumann.net/NMOF.htm#NMOFmanual

See Also

mc

Examples

if (requireNamespace("quadprog")) {
    ## a small experiment: when computing minimum-variance portfolios
    ## for correlated assets, how many large positions are in the portfolio?

    na <- 100  ## number of assets
    inc <-  5  ## minimum of assets to include

    n <- numeric(10)
    for (i in seq_along(n)) {
        R <- randomReturns(na = na,
                           ns = 500,
                           sd = seq(.2/.16, .5/.16, length.out = 100),
                           rho = 0.5)
        n[i] <- sum(minvar(cov(R), wmax = 1/inc)> 0.01)
    }
    summary(n)
}

enricoschumann/NMOF documentation built on April 13, 2024, 12:16 p.m.