Re: random financial portfolios

*To*: mathgroup at smc.vnet.net*Subject*: [mg119774] Re: random financial portfolios*From*: Ray Koopman <koopman at sfu.ca>*Date*: Tue, 21 Jun 2011 08:24:46 -0400 (EDT)*References*: <itpv0k$m6o$1@smc.vnet.net>

On Jun 21, 4:24 am, Priyan Fernando <priyan.ferna... at gmail.com> wrote: > Hi, > > 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 > *weights={w1,w2,w3,w4}* > 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: > *weights.returns* > and portfolio variance: > *weights.covariance.weights* > > Then want to plot the return against risk, for say around 100 simulations. > > Your help is much appreciated. > > Thanks! RandomVariate[DirichletDistribution[{1,1,1,1}]] will give you a random portfolio in which all weightings are equally likely. RandomVariate[DirichletDistribution[{1,1,1,1}],n] will give you n such portfolios.

**Follow-Ups**:**Re: random financial portfolios***From:*Priyan Fernando <priyan.fernando@gmail.com>