Re: random financial portfolios

*To*: mathgroup at smc.vnet.net*Subject*: [mg119779] Re: random financial portfolios*From*: Bob Hanlon <hanlonr at cox.net>*Date*: Tue, 21 Jun 2011 08:36:09 -0400 (EDT)*Reply-to*: hanlonr at cox.net

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}}; data = Table[ weights = RandomReal[{0, 1}, 4]; weights = weights/Total[weights]; {weights.covariance.weights, weights.returns}, {100}]; ListPlot[data, Frame -> True, Axes -> False] Bob Hanlon ---- Priyan Fernando <priyan.fernando 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!