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random financial portfolios

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  • Subject: [mg119771] random financial portfolios
  • From: Priyan Fernando <priyan.fernando at>
  • Date: Tue, 21 Jun 2011 07:24:10 -0400 (EDT)


Wonder if someone can help me pls; I'm new to mathematica. I want to
generate "random" financial portfolios using the following parameters.

returns = {0.05, -0.2, 0.15, 0.3}
covariance = {{0.08, -0.05, -0.05, -0.05}, {-0.05,
   0.16, -0.02, -0.02}, {-0.05, -0.02, 0.35, 0.06}, {-0.05, -0.02,
   0.06, 0.35}}

So we need
where each term is a random numbers representing asset the asset weigth
[assume that these must sum  to 1 - a long only portfolio]

I want to randomly change the weights and then calculate porfolio return:
and portfolio variance:

Then want to plot the return against risk, for say around 100 simulations.

Your help is much appreciated.


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