you could sign the random weight to each assets first, and then calculated portfolio variance as well as portfolio return. Finally, you could use monte carlo simulation to optimise the weight of each asset, which gives you the best sharp ratio. On Tue, Jul 1, 2008 at 8:02 AM, Enrico Schumann wrote: > how about bootstrapping? keeping the cross-sectional correlation in the > data > is fairly simple by sampling whole rows from your returns matrix (assumed > of > dimension observations times returns), but the serial dependence is more > difficult. if you have an idea how this serial dependence looks like (or, > say, you know what parts you want to reproduce in your scenario sets) you > may fit a regression model capturing this dependence and then resample from > the residuals. if you want a rather non-parametric approach, block > bootstrapping may be a technique to look at. > > i think patrick burns has a tutorial on bootstrapping on his homepage > http://www.burns-stat.com/ > > enrico > > -----Ursprüngliche Nachricht----- > Von: r-sig-finance-bounces@stat.math.ethz.ch > [mailto:r-sig-finance-bounces@stat.math.ethz.ch] Im Auftrag von maratikus > Gesendet: Mittwoch, 27. Februar 2008 21:49 > An: r-sig-finance@stat.math.ethz.ch > Betreff: [R-SIG-Finance] [R-sig-finance] robust portfolio optimization > > > I am exploring robust portfolio optimization. I have historical daily data > for 20 stocks over 2 year period. i'd like to simulate 1,000 datasets of 1 > year each that have autocorrelation and cross-correlation properties > similar > to those of the historical data. Then I'd like to find allocation that > maximizes minimum risk-adjusted return over 1,000 datasets. All > suggestions > are appreciated! > -- > View this message in context: > > http://www.nabble.com/robust-portfolio-optimization-tp15722777p15722777.html > Sent from the Rmetrics mailing list archive at Nabble.com. > > _______________________________________________ > R-SIG-Finance@stat.math.ethz.ch mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. > -- If you want to post, subscribe first. > No virus found in this incoming message. > Checked by AVG. > > 28.06.2008 > 19:42 > > _______________________________________________ > R-SIG-Finance@stat.math.ethz.ch mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. > -- If you want to post, subscribe first. > [[alternative HTML version deleted]]