[R-SIG-Finance] random portfolios

[Ross Bennett]

Kevin,

Can you give us a sense of the number of assets in the portfolio and
the constraints? That will help us understand where the potential
bottlenecks are in the random portfolio generation. For example,
generating a set of random portfolios for box and weight constraints
if relatively fast, but adding group or position limit constraints
makes the algorithm more complicated and slower.

Thanks,
Ross


On Mon, Mar 20, 2017 at 2:35 PM, Kevin Dhingra
<kevin.dhingra at appliedacademics.com> wrote:
> 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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