[R-sig-finance] Random Numbers

[L.Isella]

On 11/18/05, Patrick Burns <patrick at burns-stat.com> wrote:
> I think there are several problems with the resampled
> efficient frontier, here is one: The procedure as I understand
> it is to bootstrap the mean of the historical returns.  What
> should be bootstrapped is the alpha generation process.
> One hopes that there are few fund managers who use the
> historical mean as their expected return.  Bootstrapping the
> actual alpha generation process is likely to be non-trivial.
> 
> Patrick Burns
> patrick at burns-stat.com
> +44 (0)20 8525 0696
> http://www.burns-stat.com
> (home of S Poetry and "A Guide for the Unwilling S User")

Hi,
Well, the way I understood the efficient resample thing is above all a cure for the instability of Markowitz optimization leading to non-diversified ptfs.
The problem of the correlations and expected rtns is quite a separate matter, but whatever solution  I "invent" for these problems, then I can Monte Carlo simulate the series of returns accordingly.

Lorenzo