Re: random financial portfolios

*To*: mathgroup at smc.vnet.net*Subject*: [mg119781] Re: random financial portfolios*From*: Priyan Fernando <priyan.fernando at gmail.com>*Date*: Wed, 22 Jun 2011 03:44:03 -0400 (EDT)*References*: <itpv0k$m6o$1@smc.vnet.net> <201106211224.IAA23605@smc.vnet.net>

Thanks Bob for your code :) Ray, using the Dirichlet distribution would give the same results as using the following, right? weights = RandomReal[{0, 1}, 4]; weights = weights/Total[weights]; On 21 June 2011 17:54, Ray Koopman <koopman at sfu.ca> wrote: > 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. > > -- Thanks and Regards, Priyan Fernando Mob. +94 772 622 368

**References**:**Re: random financial portfolios***From:*Ray Koopman <koopman@sfu.ca>