Using Random Portfolios with R
- We could do perfect (in a sense) performance measurement if we compared what was done to all of the possible alternatives
- There are too many of those, but a random sample will do nicely
- portfolio constraints are imposed as a form of insurance
- random portfolios can help to show the cost and benefit of that insurance
- R is a good environment for such work
Presented 2009 June at the Thalesians.