[R-sig-finance] Random Numbers

Patrick Burns patrick at burns-stat.com
Wed Nov 16 16:33:04 CET 2005

It's not precisely clear to me what you wish to accomplish.
It is possible that random portfolios may be able to answer
whatever question you have.  See the Burns Statistics website.

Patrick Burns
patrick at burns-stat.com
+44 (0)20 8525 0696

L.Isella wrote:

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

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