[R-SIG-Finance] random portfolios

[Kevin Dhingra]

Hello everybody,

I have been using the random_portfolios function from the
`PortfolioAnalytics` package to simulate the range of possibilities for
return paths at each step under various portfolio constraints / mandates
for evaluating mutual fund managers. As more managers are added to the
universe, however, and more simulations are needed, the pure R
implementations get pretty heavy and hard to scale. I was wondering if
there has been any work out there thus far on implementing any of the three
random portfolio generation methods (sample, simplex, and grid search) at a
lower level, using something like `Rcpp` to enhance the efficiency of these
algorithms?


Any help/feedback is much appreciated.

Thank you,

-- 
Kshitij Dhingra
Applied Academics LLC
Office: +1.917.262.0516
Mobile: +1.206.696.5945
Email: kshitij.dhingra at appliedacademics.com
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