Random Numbers
I dont quite follow what you mean? People do resampled eff frontier with bootstrapping/bootstrapping+jackknife but this is done on the correlation/covarianceestimation process. If all you need is correlated rng take a look at V&R's MASS package rmvnorm in particular. alternatively you can use rnorm with chol to get the correlated RNG.
L.Isella wrote:
Dear All, I would like to be able to generate long sequences of random numbers which I need to work out the resampled efficient frontier of a portfolio. People normally take random draws from some multivariate (say Gaussian, to keep it simple) distribution to simulate the returns of the various assets and generate many random portfolios. I accomplish that working with rnorm(). However, this way, in the limit of very long sequences, the simulated asset returns have the chosen mean and std, but each sequence is totally uncorrelated from the other. Is there (in R) a way to produce sequences of Gaussian distributed random numbers with a chosen correlation? Regardless whether this is the proper way of calculating the resampled efficient frontier, I wonder it this has been implemented somewhere for R. Regards Lorenzo
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