rportfolios (version 1.0-1)

rlongonly: Generate random long only portfolios

Description

This function generates m random long only portfolios with n investments with each investment weight bounded in an interval and the sum of the weights equals a given amount. The number of non-zero positions is k.

Usage

rlongonly(m, n = 2, k = n, segments = NULL, x.t = 1, x.l = 0, 
x.u = x.t, max.iter = 1000)

Arguments

m

A positive integer value for the number of portfolios

n

A positive integer value for the number of investments in each portfolio

k

A positive integer value for the number of non zero weights

segments

A vector or list of vectors that defines the portfolio segments

x.t

A positive numeric value for the sum of investment weights

x.l

A positive numeric value for the lower bound of an investment weight

x.u

A positive numeric value for the upper bound of an investment weight

max.iter

A positive integer value for the number of rejection iterations

Value

A numeric $m \times n$ matrix. The rows are the portfolios and the columns are the investment weights for each portfolio

Details

The function executes the function random.longonly using the R function sapply. The result returned is the transpose of the matrix generated in the previous step.

See Also

random.longonly

Examples

###
### 100 long only portfolios of 30 investments with 30 non-zero positions
###
x.matrix <- rlongonly( 100, 30 )
###
### 100 long only portfolios of 30 investments with 10 non-zero positions
###
y.matrix <- rlongonly( 100, 30, 10 )