A Sensitivity Analysis of Non-uniformity in Random Portfolios

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

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Year of publication:	2006-07-04
Authors:	Burns, Patrick
Institutions:	Society for Computational Economics - SCE

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Series:	Computing in Economics and Finance 2006.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Computing in Economics and Finance 2006 Number 251
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005706169