Groups > comp.soft-sys.math.mathematica > #3217

random financial portfolios

From	Priyan Fernando <priyan.fernando@gmail.com>
Newsgroups	comp.soft-sys.math.mathematica
Subject	random financial portfolios
Date	2011-06-21 11:24 +0000
Organization	Steven M. Christensen and Associates, Inc and MathTensor, Inc.
Message-ID	<itpv0k$m6o$1@smc.vnet.net> (permalink)

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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!

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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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