[R-sig-finance] Random Numbers

King, David David.King at schroders.com
Wed Nov 16 16:28:38 CET 2005


You could try utilising rmvnorm in package mvtnorm.


-----Original Message-----
From: L.Isella [mailto:L.Isella at myrealbox.com] 
Sent: 16 November 2005 15:21
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-sig-finance] Random Numbers

* Please Note : This message was received from the Internet *
Dear All,
I would like to be able to generate long sequences of random numbers
which I need to work out the resampled efficient frontier of a
portfolio. People normally take random draws from some multivariate (say
Gaussian, to keep it simple) distribution to simulate the returns of the
various assets and generate many random portfolios. I accomplish that
working with rnorm(). However, this way, in the limit of very long
sequences, the simulated asset returns have the chosen mean and std, but
each sequence is totally uncorrelated from the other. Is there (in R) a
way to produce sequences of Gaussian distributed random numbers with a
chosen correlation? Regardless whether this is the proper way of
calculating the resampled efficient frontier, I wonder it this has been
implemented somewhere for R. Regards


R-sig-finance at stat.math.ethz.ch mailing list


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