Re: random financial portfolios
- To: mathgroup at smc.vnet.net
- Subject: [mg119789] Re: random financial portfolios
- From: Dana DeLouis <dana.del at gmail.com>
- Date: Wed, 22 Jun 2011 03:45:29 -0400 (EDT)
*weights={w1,w2,w3,w4}*
where each term is a random numbers representing asset the asset weight
[assume that these must sum to 1 - a long only portfolio]
Hi. Just to mention an alternative to a weight function:
weights = Normalize[RandomReal[1,4],Tr]
{0.214211,0.0813038,0.236346,0.468139}
% //Total
1.
= = = = = = = = = =
HTH : >)
Dana DeLouis
$Version
8.0 for Mac OS X x86 (64-bit) (November 6, 2010)
On Jun 21, 7:24 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!