On Sat, 2020-02-29 at 09:06 -0500, G Mac wrote: > Is there an R-package (or other software) that can be used to > forecast the next period's portfolio composition? There are many > portfolio optimization packages, but this is not the same > question. Say I take the past* x* periods, each period holds the > percentage composition of an investment portfolio (sums to 1); the > composition of assets will contain key assets held (or > increased/decreased) through periods, but new assets will be > added to the portfolio over time, while some holdings will be > dropped, so we will have nuisance here. I would like to model the > past* x* periods, accept this mentioned error, and forecast or > simulate for* x+1* period. > > Does anyone have any experience with this, or have any pointers > within the broader domain of statistics? >
Itr seems to me tomorrows portfolio is the same as today's portfolio except for organic change in weights caused by market price fluctuations, or by a rebalancing event. The 'forecast' is the standard naive forecast: today's portfolio will still be held tomorrow, unless you rebalance. I don't see any value in a simulation from the prior holdings. Portfolios are rebalanced for some business reason, and those reasons are usually pretty well understood, and not the result of a random draw from some distribution of prior holdings. What am I missing? Regards, Brian _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.