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
[EMAIL PROTECTED]
+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:[EMAIL PROTECTED]
Sent: Tuesday, July 08, 2008 12:09 PM
To: [EMAIL PROTECTED]; 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 <[EMAIL PROTECTED]>
wrote:
From: Shubha Vishwanath Karanth <[EMAIL PROTECTED]>
Subject: [R] Sum(Random Numbers)=100
To: [EMAIL PROTECTED]
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
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