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).

Kommentarer inaktiverade för Using Random Portfolios with R

See more

Explore more content and blog posts.

  • jun 25, 26

    R database interfaces

    Several packages on CRAN provide (or relate to) interfaces between databases and R.  Here is a summary, mostly in the words of the package descriptions.  Remember that package names are [...]

  • jun 25, 26

    Bricks not monoliths

    Chapter 32 of Tao Te Programming advises you to make bricks instead of monoliths.  Here is an example. The example is written with the syntax of R and is a [...]

  • jun 25, 26

    The three-dots construct in R

    There is a mechanism that allows variability in the arguments given to R functions.  Technically it is ellipsis, but more commonly called ”…”, dots, dot-dot-dot or three-dots. Basics The three-dots [...]