A Sensitivity Analysis of Non-uniformity in Random Portfolios
AbstractIn 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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Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2006 with number 251.
Date of creation: 04 Jul 2006
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