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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


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