rlongshort.test(rportfolios)
rlongshort.test()所属R语言包：rportfolios
Generate random long short portfolios
生成随机长短期投资组合
译者：生物统计家园网 机器人LoveR
描述----------Description----------
This function generates m random long short portfolios with n investments that satisfy the given gross and net notional exposure requirements. There are k non-zero positions in each portfolio. The function is used to evaluate the performance of the portfolio generation algorithm.
此功能会产生m个随机长的短的有n满足给定的毛利率和净名义暴露要求的投资组合。有k个非零位置在每个投资组合。使用该函数的组合生成算法的性能进行评估。
用法----------Usage----------
rlongshort.test(m, n = 2, k = n, x.t.long = 1, x.t.short = x.t.long,
max.iter = 2000, eps = 0.001)
参数----------Arguments----------
参数：m
A positive integer value for the number of portfolios generated
用一个正整数的数量产生的投资组合
参数：n
A positive integer value for the number of investments in the portfolio
投资组合中的一个正整数的值
参数：k
A positive integer value for the number of non zero positions
用一个正整数的非零位置
参数：x.t.long
A positive real value for the sum of the long exposures
一个正实数的总和长时间曝光
参数：x.t.short
A positive real value for the sum of the absolute value of the short exposures
正实值的总和的绝对值的短曝光
参数：max.iter
A positive integer value for the maximum iterations in the acceptance rejection method
在接受抑制方法的最大迭代正整数值
参数：eps
A small positive real value for the convergence criteria for the gross notional exposure
一个小的正实值的收敛准则，总名义曝光
Details
详细信息----------Details----------
The function executes the function random.longshort.test using the R function lapply. The result which is a list contains the investment weight vectors and number of iterations. Thse data are stored in a matrix of investment weights and a vector of iterations. These arrays are returned as a list. Gross notional exposure for each portfolio is x.t.long + x.t.short and net notional exposure is x.t.long - x.t.short. The argument eps is the tolerance applied towards the the gross notional exposure of each portfolio.
该功能执行的功能random.longshort.test使用R的功能lapply，。的结果，这是一个列表中包含的投资权重向量和迭代次数。 thse数据被存储在投资权重的矩阵和一个向量的迭代。这些数组的形式返回一个列表。每个投资组合的总名义风险是x.t.long + x.t.short和净的名义风险是x.t.long - x.t.short。参数eps是对各基金的总名义曝光宽容应用。
值----------Value----------
A list with two named components.
列表与两个命名的部分。
参数：xmatrix
A numerical m \times n matrix of investment weights
的数值m \times n的投资权重矩阵
参数：iters
An m \times 1 integer vector for the number of iterations used to obtain the investment weights
一个m \times 1整数向量用于以获得的投资权重的数目的迭代
（作者）----------Author(s)----------
Frederick Novomestky <a href="mailto:fnovomes@poly.edu">fnovomes@poly.edu</a>
参考文献----------References----------
Journal of Investing, Spring 1997, 73-86.
Factors, Scenarios and Realistic Short Positions, Operations Research, July/August 2005, 586-599.
参见----------See Also----------
random.longshort.test
random.longshort.test
实例----------Examples----------
###[＃＃]
### 100 long short portfolios with 30 investments and 30 non-zero positions[＃＃100长的短的投资组合有30个投资项目和30个非零位]
###[＃＃]
x.result <- rlongshort.test( 100, 30 )
###[＃＃]
### 100 long short portfolios with 30 investments and 20 non-zero positions[＃＃100长的短的投资组合有30个投资项目和20个非零位]
###[＃＃]
y.result <- rlongshort.test( 100, 30, 20 )
转载请注明:出自 生物统计家园网(http://www.biostatistic.net)。
注：
注1：为了方便大家学习，本文档为生物统计家园网机器人LoveR翻译而成，仅供个人R语言学习参考使用，生物统计家园保留版权。
注2：由于是机器人自动翻译，难免有不准确之处，使用时仔细对照中、英文内容进行反复理解，可以帮助R语言的学习。
注3：如遇到不准确之处，请在本贴的后面进行回帖，我们会逐渐进行修订。
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发表于 2012-9-28 20:07:42
