From: Patrick Burns <pburns_at_pburns.seanet.com>

Date: Tue, 08 Jul 2008 09:47:23 +0100

R-help_at_r-project.org mailing list

https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Tue 08 Jul 2008 - 08:51:33 GMT

Date: Tue, 08 Jul 2008 09:47:23 +0100

So really you want random portfolios.

While your specification may satisfy the demands of your current application, in general generating random portfolios is more complicated. There can be a large number of constraints required to make the portfolios conform to a realistic situation.

Two example constraints are that each position should have no more than 5% weight, and the volatility should be no more than 15%.

More on random portfolios can be found at http://www.burns-stat.com/pages/Finance/random_portfolios.html

Patrick Burns

patrick_at_burns-stat.com

+44 (0)20 8525 0696

http://www.burns-stat.com

(home of S Poetry and "A Guide for the Unwilling S User")

Shubha Vishwanath Karanth wrote:

> ...actually I need to allocate certain amount of money (here I mentioned

*> it as 100) to a randomly selected stocks(50 stocks)... i.e., 100 being
**> divided among 50 stocks and preferably all are integer allocations(i.e.,
**> 5 8 56 12 etc without any decimals)...
**>
**> Thank you,
**> Shubha
**> -----Original Message-----
**> From: Moshe Olshansky [mailto:m_olshansky_at_yahoo.com]
**> Sent: Tuesday, July 08, 2008 12:09 PM
**> To: r-help_at_stat.math.ethz.ch; Shubha Vishwanath Karanth
**> Subject: Re: [R] Sum(Random Numbers)=100
**>
**> If they are really random you can not expect their sum to be 100.
**> However, it is not difficult to get that given that the sum of n
**> independent Poisson random variables equals N, any individual one has
**> the conditional binomial distribution with size = N and p = 1/n, i.e.
**> P(Xi=k/Sn=N) = (N over k)*(1/n)^k*((n-1)/n)^(N-k).
**> So you can generate X1 binomial with size = 100 and p = 1/50; if X1 = k1
**> then the sum of the rest 49 must equal 100 - k1, so now you generate X2
**> binomial with size = 100-k1 and p = 1/49; if X2 = k2 then generate X3
**> binomial with size = 100 -(k1+k2) and p = 1/48, etc.
**>
**> Why do you need this?
**>
**>
**> --- On Tue, 8/7/08, Shubha Vishwanath Karanth <shubhak_at_ambaresearch.com>
**> wrote:
**>
**>
**>> From: Shubha Vishwanath Karanth <shubhak_at_ambaresearch.com>
**>> Subject: [R] Sum(Random Numbers)=100
**>> To: r-help_at_stat.math.ethz.ch
**>> Received: Tuesday, 8 July, 2008, 3:58 PM
**>> Hi R,
**>>
**>>
**>>
**>> I need to generate 50 random numbers (preferably poisson),
**>> such that
**>> their sum is equal to 100. How do I do this?
**>>
**>>
**>>
**>>
**>>
**>> Thank you,
**>>
**>> Shubha
**>>
**>>
**>>
**>> This e-mail may contain confidential and/or privileged
**>> i...{{dropped:13}}
**>>
**>> ______________________________________________
**>> R-help_at_r-project.org mailing list
**>> https://stat.ethz.ch/mailman/listinfo/r-help
**>> PLEASE do read the posting guide
**>> http://www.R-project.org/posting-guide.html
**>> and provide commented, minimal, self-contained,
**>> reproducible code.
**>>
**> This e-mail may contain confidential and/or privileged i...{{dropped:10}}
**>
**> ______________________________________________
**> R-help_at_r-project.org mailing list
**> https://stat.ethz.ch/mailman/listinfo/r-help
**> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
**> and provide commented, minimal, self-contained, reproducible code.
**>
**>
**>
*

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https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Tue 08 Jul 2008 - 08:51:33 GMT

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