25 Dec

Using Random Portfolios with R

Main points

  • 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

annotated slides (pdf)

Presented 2009 June at the Thalesians.

There is a video of the talk on the Thalesian website (near the bottom).

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