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Re: RE: random generation of constrained portfolio allocation weights

Posted by Ferdinando Ametrano-3 on Sep 07, 2004; 11:48am
URL: http://quantlib.414.s1.nabble.com/random-generation-of-constrained-portfolio-allocation-weights-tp3309p3315.html

Mario,

>Generating uniformly distributed random numbers on a multidimensional
>polytope is a rather difficult problem. See for instance [Leydold,
>Hormann] http://citeseer.ist.psu.edu/leydold98sweepplane.html
thank you for the setting the problem and for the paper. I've fast-read it,
and I hoped to be able to use (1) in [Leydold, Hormann], but I haven't been
able to compute the vertex using the packages available on the web. It
seems like this problem needs more than 15 minutes... :)

>If there is interest, I'm happy to work on this issue and eventually
>contribute a good algorithm.
I am very interested! Please go ahead, and let me know how can I help you.

>  For the time being, however, I guess the rejection method is a
> moderately good solution.
Hmmm... what do you mean exactly? With strict constraints I had to reject
up all but 3 tuples out of 4097 Sobol tuples. It's too inefficient in my book.

I look forward to your contribution.

ciao -- Nando