rportfolios (version 1.0-1)

requal.test: Generate equal weighted portfolios

Description

This function generates m random equal portfolios with k non-zero, equal weights and the sum of the weights equals $x_t$. This function is used to evaluate the computation performance of the portfolio generation algorithm

Usage

requal.test(m, n = 2, k = n, x.t = 1)

Arguments

m

A positive integer for the number of portfolios in the sample

n

A positive integer for the number of non-zero equal weights

k

A positive integer for the number of investments in the portfolio

x.t

A positive number for the sum of the weights

Value

A list with two named components.

Details

The function executes the function random.equal using the R function sapply. The result returned is the transpose of the matrix generated in the previous step. This is not an iterative function so that the number of iterations is 1 for all of the portfolios.

References

Evans, J. and S. Archer, 1968. Diversification and the Reduction of Risk: An Empirical Analysis, Journal of Finance, 23, 761-767.

Upson, R. B., P. F. Jessup and K. Matsumoto, 1975. Portfolio Diversification Strategies, Financial Analysts Journal, 31(3), 86-88.

Elton, E. J. and M. J. Gruber, 1977. Risk Reduction and Portfolio Size: An Analytical Solution, Journal of Business, 50(4), 415-437.

Bird, R. and M. Tippett, 1986. Naive Diversification and Portfolio Risk - A Note, Management Science, 32(2), 244-251.

Statman, M., 1987. How many stocks make a diversified portfolio, Journal of Financial and Quantitative Analysis, 22, 353-363.

Newbould, G. D. and P. S. Poon, 1993. The minimum number of stocks needed for diversification, Financial Practice and Education, 3, 85-87.

O'Neal, E. S., 1997. How Many Mutual Funds Constitute a Diversified Mutual Fund Portfolio, Financial Analysts Journal, 53(2), 37-46.

Statman, M., 2004. The diversification puzzle, Financial Analysts Journal, 60, 48-53.

Benjelloun, H. and Siddiqi, 2006. Direct diversification with small stock portfolios. Advances in Investment Analysis and Portfolio Management, 2, 227-252.

Benjelloun, H., 2010. Evans and Archer - forty years later, Investment Management and Financial Innovation, 7(1), 98-104.

See Also

random.equal

Examples

###
### generate 100 equal weighted portfolios of 30 investments with 10 non zero positions
###
result <- requal.test( 100, 30, 10 )