A Sensitivity Analysis of Non-uniformity in Random Portfolios

Patrick Burns ()

No 251, Computing in Economics and Finance 2006 from Society for Computational Economics

Abstract: In priciple random portfolios should be uniformly distributed over the feasible region. Common algorithms tend to concentrate portfolios near the boundary. While there is an argument that this may actually be better than a uniform distribution, it is of interest to know what difference the non-uniformity makes. The paper examines the effect of the concentration of portfolios near the boundary in some realistic settings

Date: 2006-07-04
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecfa:251

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