Random Portfolio Evolution Simulation

Simulate the evolution of the value of a random portfolio over time, with the asset weights of the random portfolio optionally subject to:

• Minimum and maximum number of assets constraint
• Minimum and maximum weights constraints
• Minimum and maximum group weights constraints
• Minimum and maximum portfolio exposure constraints

Due to the nature of the endpoint, subsequent calls with the same input data will result in different output data.

References

• Surz, R. J. 1994. Portfolio opportunity distributions: an innovation in performance evaluation. The Journal of Investing, 3(2): 36-41
• Burns, P. (2007). Random Portfolios for Performance Measurement. In: Kontoghiorghes, E.J., Gatu, C. (eds) Optimisation, Econometric and Financial Analysis. Advances in Computational Management Science, vol 9. Springer, Berlin, Heidelberg