[R-SIG-Finance] Portfolio Composition Forecasting

[Brian G. Peterson]

On Sat, 2020-02-29 at 09:06 -0500, G Mac wrote:
> 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?
> 

Itr seems to me tomorrows portfolio is the same as today's portfolio
except for organic change in weights caused by market price
fluctuations, or by a rebalancing event.  The 'forecast' is the
standard naive forecast: today's portfolio will still be held tomorrow,
unless you rebalance.

I don't see any value in a simulation from the prior holdings. 
Portfolios are rebalanced for some business reason, and those reasons
are usually pretty well understood, and not the result of a random draw
from some distribution of prior holdings.

What am I missing?

Regards,

Brian