Message-ID: <CALGfFMYGMnKfz4rJMsVOLm6HmbNcn72O+Kie32HbELYKoVAkQA@mail.gmail.com>
Date: 2020-02-29T14:06:03Z
From: G Mac
Subject: Portfolio Composition Forecasting
Hi All
I was hoping someone could point me in the right direction.
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?
Many thanks in advance,
Gareth
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