[R-SIG-Finance] Portfolio Composition Forecasting

G Mac mcew@n@g@reth @end|ng |rom gm@||@com
Sat Feb 29 15:06:03 CET 2020

Hi All

I was hoping someone could point me in the right direction.

Is there an R-package (or other software) that can be used to forecast the
next period's portfolio composition?  There are many portfolio optimization
packages, but this is not the same question.  Say I take the past* x*
periods, each period holds the percentage composition of an investment
portfolio (sums to 1); the composition of assets will contain key assets
held (or increased/decreased) through periods, but new assets will be added
to the portfolio over time, while some holdings will be dropped, so we will
have nuisance here.  I would like to model the past* x* periods, accept
this mentioned error, and forecast or simulate for* x+1* period.

Does anyone have any experience with this, or have any pointers within the
broader domain of statistics?

Many thanks in advance,

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