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
Presented 2009 June at the Thalesians.
There is a video of the talk on the Thalesian website (near the bottom).
Kommentarer inaktiverade för Using Random Portfolios with R
jun 25, 26
Many people are of the opinion that R has a corner on convenient data analysis. That may or may not be true. But now R literally has a corner that [...]
jun 25, 26
The most likely topics to appear here are: the R language statistics programming in general optimization