[R-SIG-Finance] Quick and simple Simulation of a multivariate returns

[Dirk Eddelbuettel]

On 18 February 2008 at 12:30, Attiglah, Mama wrote:
| Hi room, 
| Just want to find out if we do have any package in R that simulates a
| multivariate data using historical values.
| What about the simulation but with a long term views on some metrics,
| i.e. Mean, Volatility, correlation, etc...
| Example, I have a 2 years time series of the returns on 5 asset classes
| and I want to project the future returns just on a simulation basis. (It
| needs not preserve necessarily their time dependency distribution).
| Any model or any Monte Carlo methods or bootstrapping should do,
| including a simple block or row re-sampling with repetition. 
| Please reply on the basic of a multivariate historical data. This is not
| a portfolio simulation but a simulation of the portfolio constituents. 
| Any information is highly appreciated.

I've used a simple block bootstrap variant for this in the past. See several
posts in the last few weeks, including a rather substantive one by Tim
Hesterberg, with a particular warning about my use of block bootstrap.

AFAIK no canned function or package does this, but it doesn't take too much
effort to set it up.

Regards, Dirk

-- 
Three out of two people have difficulties with fractions.