NMOF (version 2.2-2)

randomReturns: Create a Random Returns

Description

Create a matrix of random returns.

Usage

randomReturns(na, ns, sd, mean = 0, rho = 0)

Arguments

na

number of assets

ns

number of return scenarios

sd

the standard deviation: either a single number or a vector of length na

mean

the mean return: either a single number or a vector of length na

rho

correlation: a scalar

Value

a numeric matrix of size na times ns

Details

The function corresponds to the function random_returns, described in the second edition of NMOF (the book).

References

Gilli, M., Maringer, D. and Schumann, E. (2019) Numerical Methods and Optimization in Finance, 2nd edition. Elsevier. https://www.elsevier.com/books/numerical-methods-and-optimization-in-finance/gilli/978-0-12-815065-8

Schumann, E. (2019) Financial Optimisation with R (NMOF Manual). http://enricoschumann.net/NMOF.htm#NMOFmanual

See Also

mc

Examples

# NOT RUN {
## a small experiment: when computing minimum-variance portfolios
## for correlated assets, how many large positions are in the portfolio?

na <- 100  ## number of assets
inc <-  5  ## minimum of assets to include

n <- numeric(10)
for (i in seq_along(n)) {
    R <- randomReturns(na = na,
                       ns = 500,
                       sd = seq(.2/.16, .5/.16, length.out = 100),
                       rho = 0.5)
    n[i] <- sum(minvar(cov(R), wmax = 1/inc)> 0.01)
}
summary(n)
# }