[R-SIG-Finance] random portfolios

[Kevin Dhingra]

Brian,

Thank you for a quick reply. I will soon be working on that problem and
from what I have played with so far, it is unlikely that for our example
~2k portfolios will be enough (really hoping it would) to get a good sense
of the feasible space and seems like I need to implement an Rcpp version of
the random portfolios function. I will be happy to collaborate and share my
code once i get a decent handle on it locally for the purposes of our
current project.

Regards,
Kshitij Dhingra



On Mon, Mar 20, 2017 at 3:17 PM, Brian G. Peterson <brian at braverock.com>
wrote:

> 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
>



-- 
Kshitij Dhingra
Applied Academics LLC
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