gen_sample_portfolios: Generate sample portfolios

In ngloe/olpsR: Algorithms and functions for On-line Portfolio Selection

Description

generates all possible portfolios of the form b = (b_1, b_2, ... b_m), where b_i - b_i-1 = step and, 0 < step < 1.

Usage

gen_sample_portfolios(n_assets, step = 0.05)

Arguments

n_assets	number of assets within each portfolio
step	step length

Value

Matrix with portfolio weights; each row represents a portfolio

Note

can lead to memory problems for n_assets > 5. Alternatively use gen_rand_portfolios.

Examples

gen_sample_portfolios(2, step=0.05)

ngloe/olpsR documentation built on May 23, 2019, 4:42 p.m.