gen_rand_portfolios: Generate random portfolios
In ngloe/olpsR: Algorithms and functions for On-line Portfolio Selection
Description
Usage
Arguments
Value
References
Examples
Description
generates uniformly distributed random portfolios based on Algorithm 3
of Ishijima's 'Numerical Methods for Universal Portfolios' (see references)
Usage
1
gen_rand_portfolios(n_portfolios, n_assets)
Arguments
n_portfolios
number of portfolios to be generated
n_assets
number of assets within each portfolio
Value
Matrix with portfolio weights; each row represents a portfolio
References
Ishijima 2001, Numerical Methods for Universal Portfolios
http://www.business.uts.edu.au/qfrc/conferences/qmf2001/Ishijima_H.pdf
Examples
1
gen_rand_portfolios(10, 3)
ngloe/olpsR documentation built on May 23, 2019, 4:42 p.m.
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Description Usage Arguments Value References Examples
Description
generates uniformly distributed random portfolios based on Algorithm 3 of Ishijima's 'Numerical Methods for Universal Portfolios' (see references)
Usage
1 | gen_rand_portfolios(n_portfolios, n_assets)
|
Arguments
n_portfolios |
number of portfolios to be generated |
n_assets |
number of assets within each portfolio |
Value
Matrix with portfolio weights; each row represents a portfolio
References
Ishijima 2001, Numerical Methods for Universal Portfolios http://www.business.uts.edu.au/qfrc/conferences/qmf2001/Ishijima_H.pdf
Examples
1 | gen_rand_portfolios(10, 3)
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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