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