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Re: random financial portfolios

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On Jun 21, 4:24 am, Priyan Fernando <priyan.ferna...@gmail.com> wrote:
> Hi,
>
> Wonder if someone can help me pls; I'm new to mathematica. I want to
> generate "random" financial portfolios using the following parameters.
>
> returns = {0.05, -0.2, 0.15, 0.3}
> covariance = {{0.08, -0.05, -0.05, -0.05}, {-0.05,
>    0.16, -0.02, -0.02}, {-0.05, -0.02, 0.35, 0.06}, {-0.05, -0.02,
>    0.06, 0.35}}
>
> So we need
> *weights={w1,w2,w3,w4}*
> where each term is a random numbers representing asset the asset weigth
> [assume that these must sum  to 1 - a long only portfolio]
>
> I want to randomly change the weights and then calculate porfolio return:
> *weights.returns*
> and portfolio variance:
> *weights.covariance.weights*
>
> Then want to plot the return against risk, for say around 100 simulations.
>
> Your help is much appreciated.
>
> Thanks!

RandomVariate[DirichletDistribution[{1,1,1,1}]]  will give you
a random portfolio in which all weightings are equally likely.

RandomVariate[DirichletDistribution[{1,1,1,1}],n]  will give you
n such portfolios.

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Thread

random financial portfolios Priyan Fernando <priyan.fernando@gmail.com> - 2011-06-21 11:24 +0000
  Re: random financial portfolios Ray Koopman <koopman@sfu.ca> - 2011-06-21 12:24 +0000
  Re: random financial portfolios Priyan Fernando <priyan.fernando@gmail.com> - 2011-06-22 07:56 +0000
  Re: random financial portfolios Priyan Fernando <priyan.fernando@gmail.com> - 2011-06-22 07:42 +0000

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