rportfolios (version 1.0-1)

rlongshort: Generate long short portfolios

Description

This function generates m random long short portfolios with n investments with the given gross and net notional exposure requirements. There are k non-zero positions in the portfolio.

Usage

rlongshort(m, n = 2, k = n, segments = NULL, x.t.long = 1, x.t.short = x.t.long, 
max.iter = 2000, eps = 0.001)

Arguments

m

A positive integer value for the number of portfolios generated

n

A positive integer value for the number of investments in the 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.long

A positive real value for the sum of the long exposures

x.t.short

A positive real value for the sum of the absolute value of the short exposures

max.iter

A positive integer value for the maximum iterations in the acceptance rejection method

eps

A small positive real value for the convergence criteria for the gross notional exposure

Value

An $m \times n$ numeric matrix of investment weights for the long short portfolios

Details

The arguments x.t, x.t.long and x.t.short are proportions of total invested capital.

References

Jacobs, B. I. and K. N. Levy, 1997. The Long and Short of Long-Short Investing, Journal of Investing, Spring 1997, 73-86.

Jacobs, B. I., K. N. Levy and H. M. Markowitz, 2005. Portfolio Optimization with Factors, Scenarios and Realist SHort Positions, Operations Research, July/August 2005, 586-599.

See Also

random.longshort

Examples

###
### 100 portfolios of 30 investments with 30 non-zero positions
###
x.matrix <- rlongshort( 100, 30 )
###
### 100 portfolios of 30 investments with 10 non-zero positions
###
y.matrix <- rlongshort( 100, 30, 20 )