rportfolios (version 1.0-1)

rlongonly.test: 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. This function is used to test the algorithm that generates the random portfolios.

Usage

rlongonly.test(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 list with two named components.

Details

The function executes the function random.longonly.test using the R function lapply. The result which is a list contains the investment weight vectors and number of iterations. Thse data are stored in a matrix of investment weights and a vector of iterations. These arrays are returned as a list.

References

Cheng, R. C. H., 1977. The Generation of Gamma Variables with Non-integral Shape Parameter, Journal of the Royal Statistical Society, Series C (Applied Statistics), 26(1), 71.

Marsaglia, G. and T. A. Bray, 1964. A convenient method for generating normal variables, SIAM Review, 6(3), July 1964, 260-264.

Ross, S. M. (2006). Simulation, Fourth Edition, Academic Press, New York NY.

See Also

random.longonly.test

Examples

###
### generate 100 long only portfolios with 30 investments and 30 non-zero positions
###
x.result <- rlongonly.test( 100, 30 )
###
### generate 100 long only portfolios with 30 investments and 10 non-zero positions
###
y.result <- rlongonly.test( 100, 30, 10 )