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rportfolios (version 1.0-1)

Random Portfolio Generation

Description

A collection of tools used to generate various types of random portfolios. The weights of these portfolios are random variables derived from truncated continuous random variables.

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Version

Install

install.packages('rportfolios')

Monthly Downloads

31

Version

1.0-1

License

GPL (>= 2)

Maintainer

Frederick Novomestky

Last Published

August 19th, 2016

Functions in rportfolios (1.0-1)

collapse.segments

Collapse a list or vectors of portfolio segments
portfolio.difference

Portfolio Difference Measure
portfolio.diversification

Portfolio Diversification Measure
ractive

Generate random active portfolios
extract.segments

Extract Investment Segment Exposures
random.active

Random actively managed portfolio
portfolio.composite

Merge portfolios into a composite
overweight.segments

Overweight Active Investment Segment Exposures
random.active.test

Random actively managed portfolio
ractive.test

Generate random active portfolios
random.general

Random general portfolio
random.benchmark.test

Random Naive Benchmark Portfolio
random.equal

Random equal weighted portfolios
random.longonly

Random long only portfolio
random.longonly.test

Random long only portfolio
random.general.test

Random general portfolio
random.bounded.test

Random bounded portfolio
random.benchmark

Random Naive Benchmark Portfolios
random.bounded

Random bounded portfolio
rbounded

Random bounded portfolios
requal.test

Generate equal weighted portfolios
random.longshort

Generate random long short porfolio
random.shortonly

Random short only portfolio
requal

Generate equal weighted portfolios
random.shortonly.test

Random short only portfolio
rbenchmark

Generate random naive benchmark portfolios
random.longshort.test

Random long short portfolio test
rbounded.test

Random bounded portfolios
rbenchmark.test

Generate random naive benchmark portfolios
rlongshort.test

Generate random long short portfolios
rgeneral

Generate random general portfolios
rshortonly.test

Generate random short only portfolios
segment.complement

Complement of Investment Segments
rgeneral.test

Generate random general portfolios
rlongshort

Generate long short portfolios
random.equal.test

Random equal weighted portfolios
rlongonly.test

Generate random long only portfolios
rlongonly

Generate random long only portfolios
rshortonly

Generate short only portfolios
set.segments

Set segment weights from portfolios
underweight.segments

Underweight Active Investment Segment Exposures