[R-SIG-Finance] random portfolios

[Brian G. Peterson]

On Mon, 2017-03-20 at 15:09 -0400, Kevin Dhingra wrote:
> 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?

We've discussed it, but I can't say that it is terribly high on our
list of priorities.  

In most cases, no more than 1-2k portfolios should be required to get a
fair view of the feasible space given your constraints and objectives.

We'd be happy to work with you if you want to craft a patch to use C or
Rcpp for this.

Regards,

Brian